Numerical integration‐based Gaussian mixture filters for maximum likelihood estimation of asymmetric stochastic volatility models (Q5427674)
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scientific article; zbMATH DE number 5213448
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical integration‐based Gaussian mixture filters for maximum likelihood estimation of asymmetric stochastic volatility models |
scientific article; zbMATH DE number 5213448 |
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Numerical integration‐based Gaussian mixture filters for maximum likelihood estimation of asymmetric stochastic volatility models (English)
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21 November 2007
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stochastic volatility
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nonlinear filtering
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leverage effect
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numerical integration
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autoregressive stochastic models
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