Estimation and application of semiparametric stochastic volatility models based on kernel density estimation and hidden Markov models
DOI10.1002/asmb.2305zbMath1414.62418OpenAlexW2792630019MaRDI QIDQ4627135
Hong-Xia Wang, Hong-Xia Hao, Xing-Fang Huang, Jin-Guan Lin, Yan-Yong Zhao
Publication date: 7 March 2019
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.2305
numerical integrationhidden Markov modelkernel density estimationstochastic volatility modelsforward algorithm
Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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