Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility

DOI10.1007/978-3-540-71297-8_13zbMath1178.62113OpenAlexW172841601MaRDI QIDQ3646959

B. Jungbacker, Siem Jan Koopman

Publication date: 27 November 2009

Published in: Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-71297-8_13

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Portfolio theory (91G10)

Related Items (3)

Stochastic volatility models for exchange rates and their estimation using quasi-maximum-likelihood methods: an application to the South African Rand ⋮ SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation ⋮ Fourier inference for stochastic volatility models with heavy-tailed innovations

Uses Software

• SsfPack
• STAMP

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