Estimation and application of semiparametric stochastic volatility models based on kernel density estimation and hidden Markov models (Q4627135)
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scientific article; zbMATH DE number 7033575
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation and application of semiparametric stochastic volatility models based on kernel density estimation and hidden Markov models |
scientific article; zbMATH DE number 7033575 |
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Estimation and application of semiparametric stochastic volatility models based on kernel density estimation and hidden Markov models (English)
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7 March 2019
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forward algorithm
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hidden Markov model
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kernel density estimation
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numerical integration
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stochastic volatility models
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