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zbMath1238.91147MaRDI QIDQ2888198

Bovas Abraham, Ji-Eun Choi

Publication date: 30 May 2012

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

simulated maximum likelihood particle filter stochastic volatility model efficient importance sampling heavy-tailed innovation normal innovation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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