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A Maximum Likelihood Approach for Non-Gaussian Stochastic Volatility Models

✍ Scribed by Moshe Fridman and Lawrence Harris


Book ID
121243408
Publisher
American Statistical Association
Year
1998
Tongue
English
Weight
318 KB
Volume
16
Category
Article
ISSN
0735-0015

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We show that a non-identifiability problem can occur when one attempts to estimate the degrees of freedom and the unstructured covariance matrix simultaneously in a Gaussian-inverted Wishart model, using the maximum likelihood approach. However, the EM algorithm may falsely converge to give finite e