ASV (Q92877)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: ASV |
Stochastic Volatility Models with or without Leverage
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ASV |
Stochastic Volatility Models with or without Leverage |
Statements
15 February 2024
0 references
The efficient Markov chain Monte Carlo estimation of stochastic volatility models with and without leverage (asymmetric and symmetric stochastic volatility models). Further, it computes the logarithm of the likelihood given parameters using particle filters.
0 references
expanded from: GPL (≥ 2) (English)
0 references
