Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine (Q2000331)
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scientific article; zbMATH DE number 7074743
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine |
scientific article; zbMATH DE number 7074743 |
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Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine (English)
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28 June 2019
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stochastic volatility
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non-Gaussian distribution
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adaptive importance sampling
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band matrix
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deviance information criterion
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cross-entropy
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