Estimation of an asymmetric model of asset prices
扩展了拟极大似然方法，用于估计具有相关扰动的随机波动率模型，并应用于股票收益数据，对金融资产定价和投资组合研究有用。
A stochastic volatility model may be estimated by a quasi-maximum likelihood procedure by transforming to a linear state-space form. The method is extended to handle correlation between the two disturbances in the model and applied to data on stock returns.