Real time estimation of stochastic volatility processes
type: Item
instance of: scholarly article
title: Real time estimation of stochastic volatility processes
zbMATH Open document ID: 1254.91660
author: László Gerencsér
author: Zsanett Orlovits
published in: Annals of Operations Research
publication date: 2013-01-15T00:00:00Z
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 6125696
zbMATH Keywords: stochastic volatility
zbMATH Keywords: financial time series
zbMATH Keywords: GARCH processes
zbMATH Keywords: recursive estimation
zbMATH Keywords: Markovian dynamics
MaRDI profile type: Publication
full work available at URL: s10479-011-0976-2
OpenAlex ID: W2024300228
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DOI: 10.1007/S10479-011-0976-2
description: scientific article; zbMATH DE number 6125696