Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns
提出一种拟极大似然方法，将随机波动模型转化为线性状态空间形式进行估计，并扩展至处理模型中的扰动相关性，应用于股票收益数据。
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