Course on Financial Econometrics and stochastic volatility models
 

• Tutorial Guide

 

• Merval and YPF data

 

• Some MatLab m-files:  
   

          Kalman Filter

          QML estimation

          SV Forecast

   

•  MCMC estimation of MERVAL returns with BUGS

 

• Bivariate SV model specification

 

• Some References