Linear filtering for asymmetric stochastic volatility models (Q1929412)
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scientific article; zbMATH DE number 6123401
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Linear filtering for asymmetric stochastic volatility models |
scientific article; zbMATH DE number 6123401 |
Statements
Linear filtering for asymmetric stochastic volatility models (English)
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8 January 2013
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Kalman filter
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state-space model
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autoregressive volatility
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leverage effect
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quasi maximum likelihood
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