On filtering and estimation of a threshold stochastic volatility model (Q658656)
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scientific article; zbMATH DE number 5996960
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On filtering and estimation of a threshold stochastic volatility model |
scientific article; zbMATH DE number 5996960 |
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On filtering and estimation of a threshold stochastic volatility model (English)
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13 January 2012
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stochastic volatility
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threshold principle
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filtering
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change of measures
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reference probability
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EM algorithm
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