(2) Ghysels, E., Harvey, A.C., and Renault, E. (1996). Stochastic Volatility, in Maddala, G.S. and Rao. C.R., eds, "Handbook of Statistics" vol 14, North Holland, Amsterdam, pp. 119-191

(3)Jacquier, E., Polson, N.G., and Rossi, P.E. (1994). Bayesian analysis of stochastic volatility models. Journal of the American Statistical Association 12,371-417.

(4)Jacquier, E., Polson, N.G., and Rossi, P.E. (2003). Bayesian analysis of the stochastic volatility models with fat-tails and correlated errors. Journal of Econometrics 122,185-212.

(1) Estimation methods for stochastic volatility models: a survey, j of Economic Surveys. December 2004 - Vol. 18 Issue 5 Page 613-742

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Best start from (2), then to (1). do not try (3) and (4) if you do not know Bayesian method very well.

Also, you need to be good at Kalman Filter very well in order to estimate a model.

of course you can make your own program or use canned package(e.g. Eviews: state space models)

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send me an email tell me who you are(I means for SV model at this BBS) if you can not find (1) and (2).{try yourself first}.

there is a working paper version of (2) on the website.

[此贴子已经被作者于2006-2-20 21:33:04编辑过]

楼上的，谢谢你的推荐