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Filtering of a Multi-Dimension Stochastic Volatility Model - MaRDI portal

Filtering of a Multi-Dimension Stochastic Volatility Model (Q3005154)

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Filtering of a Multi-Dimension Stochastic Volatility Model
scientific article

    Statements

    title
    Filtering of a Multi-Dimension Stochastic Volatility Model (English)
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    author
    Shangzhen Luo
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    publication date
    7 June 2011
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    zbMATH Keywords
    EM algorithm
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    filtering
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    hidden Markov model
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    stochastic volatility
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    Identifiers

    Mathematics Subject Classification ID
    60G35
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    60J05
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    91G80
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    zbMATH DE Number
    5904648
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    OpenAlex ID
    W2084804212
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