Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions (Q4554510)
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scientific article; zbMATH DE number 6979539
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions |
scientific article; zbMATH DE number 6979539 |
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Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions (English)
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14 November 2018
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stochastic volatility
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Lévy processes
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maximum likelihood estimation
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gradient estimation
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characteristic function
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hidden Markov structure
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