Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine
type: Item
instance of: scholarly article
title: Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine
zbMATH Open document ID: 1415.91228
author: Xiao-Li Gong
author: Xi-Hua Liu
author: Xiong Xiong
author: Xin-Tian Zhuang
published in: Chaos, Solitons and Fractals
publication date: 2019-06-28T00:00:00Z
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 7074743
zbMATH Keywords: stochastic volatility
zbMATH Keywords: non-Gaussian distribution
zbMATH Keywords: adaptive importance sampling
zbMATH Keywords: band matrix
zbMATH Keywords: deviance information criterion
zbMATH Keywords: cross-entropy
MaRDI profile type: Publication
full work available at URL: j.chaos.2018.07.010
OpenAlex ID: W2883497411
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Wikidata QID: Q129557112
DOI: 10.1016/J.CHAOS.2018.07.010
description: scientific article; zbMATH DE number 7074743