Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models

DOI10.1016/j.csda.2007.07.009zbMath1452.62757OpenAlexW2138680760MaRDI QIDQ1023616

Drew D. Creal

Publication date: 12 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.07.009

zbMATH Keywords

stochastic volatilityKalman filterLévy processparticle filter

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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