Inference methods for stochastic volatility models

DOI10.12988/IMF.2013.13035zbMath1281.62193OpenAlexW2511017028MaRDI QIDQ5401953

Maddalena Cavicchioli

Publication date: 12 March 2014

Published in: International Mathematical Forum (Search for Journal in Brave)

Full work available at URL: http://www.m-hikari.com/imf/imf-2013/5-8-2013/cavicchioliIMF5-8-2013.pdf

zbMATH Keywords

Kalman filtergeneralized least squares

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)

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