State-space stochastic volatility models: A review of estimation algorithms

DOI<link itemprop=identifier href="https://doi.org/10.1002/(SICI)1099-0747(199612)12:4<265::AID-ASM288>3.0.CO;2-N" /><265::AID-ASM288>3.0.CO;2-N 10.1002/(SICI)1099-0747(199612)12:4<265::AID-ASM288>3.0.CO;2-NzbMath0924.62107OpenAlexW2046732159MaRDI QIDQ4258939

Enrico Capobianco

Publication date: 15 September 1999

Full work available at URL: https://doi.org/10.1002/(sici)1099-0747(199612)12:4<265::aid-asm288>3.0.co;2-n

zbMATH Keywords

stochastic volatilityestimation algorithmssimulation techniquesgeneralized bilinear stochastic volatility processeslinear and nonlinear state space representations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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