Estimation of Stochastic Volatility Models: An Approximation to the Nonlinear State Space Representation
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Publication:5460717
DOI10.1081/SAC-200055729zbMath1066.62105OpenAlexW1995946422MaRDI QIDQ5460717
Yoshihiko Tsukuda, Junji Shimada
Publication date: 18 July 2005
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1081/sac-200055729
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) Economic time series analysis (91B84) General considerations in statistical decision theory (62C05)
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Cites Work
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