Simulated likelihood inference for stochastic volatility models using continuous particle filtering (Q457263)
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scientific article; zbMATH DE number 6348509
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Simulated likelihood inference for stochastic volatility models using continuous particle filtering |
scientific article; zbMATH DE number 6348509 |
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Simulated likelihood inference for stochastic volatility models using continuous particle filtering (English)
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26 September 2014
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stochastic volatility
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particle filter
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simulated likelihood
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state space
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leverage effect
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jumps
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0.93487453
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0.9319447
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0.9078057
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0.89727104
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0.8960229
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0.8953856
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0.8933541
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