ADDITIONAL REFERENCES
- Davidian , M. and Carroll , R. J. 1987 . “Variance Function Estimation,” . Journal of the American Statistical Association , 82 : 1079 – 1091 .
- Davis , P. J. 1964 . “Gamma-Function and Related Functions,” . In Handbook of Mathematical Functions , Edited by: Abramowitz , M. and Stegun , I. A. 253 – 293 . New York : Dover .
- Harvey , A. , Ruiz , E. and Shephard , N. 1994 . “Multivariate Stochastic Variance Models,” . Review of Economic Studies , 61 : 247 – 264 .
- Kim , S. and Shephard , N. G. 1993 . “Stochastic Volatility: New Models and Optimal Likelihood Inference,” unpublished manuscript
- Nelson , D. B. 1993 . “Asymptotic Filtering and Smoothing Theory for Multivariate ARCH Models,” , University of Chicago, Graduate School of Business . unpublished manuscript
- Nelson , D. B. and Foster , D. P. 1994 . “Asymptotic Filtering Theory for Univariate ARCH Models,” . Econometrica , 62 : 1 – 41 .
- Scott , L. O. 1987 . “Option Pricing When the Variance Changes Randomly: Theory, Estimation, and an Application,” . Journal of Financial and Quantitative Analysis , 22 : 419 – 438 .
- Watanabe , T. 1992a . “Alternative Approach to Conditional Heteroskedasticity in Stock Returns: Approximate Non–Gaussian Filtering,” , Yale University, Dept, of Economics . working paper
- Watanabe , T. 1992b . “A Nonlinear Filtering Technique for Estimating Stochastic Volatility Models With an Application to Daily Returns in the New York Stock Exchange,” , Yale University, Dept, of Economics . working paper