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Maximum likelihood estimation of ARFIMA models with a Box-Cox transformation

✍ Scribed by Angela D’Elia; Domenico Piccolo

Publisher: Springer
Year: 2004
Tongue: English
Weight: 329 KB
Volume: 12
Category: Article
ISSN: 1613-981X
DOI: 10.1007/s10260-003-0064-0

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## Abstract Recently, Fridman and Harris proposed a method which allows one to approximate the likelihood of the basic stochastic volatility model. They also propose to estimate the parameters of such a model maximising the approximate likelihood by an algorithm which makes use of numerical derivat