Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH (Q5881701)
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scientific article; zbMATH DE number 7662317
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH |
scientific article; zbMATH DE number 7662317 |
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Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH (English)
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13 March 2023
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importance sampling
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latent variable
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simulated maximum likelihood
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skewed normal distribution
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