Conditional Gauss-Hermite filtering with application to volatility estimation
Hermann Singer
| Year of publication: |
Oktober 2008
|
|---|---|
| Authors: | Singer, Hermann |
| Publisher: |
Hagen : FernUniversität Hagen, Fachbereich Wirtschaftswissenschaften |
| Subject: | Zeitreihenanalyse | Time series analysis | Multivariate Analyse | Multivariate analysis | Analysis | Mathematical analysis | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Nichtlineare Regression | Nonlinear regression | Theorie | Theory |
| Extent: | 1 Online-Ressource (28 Blatt) Diagramme |
|---|---|
| Series: | Diskussionsbeiträge / Fakultät Wirtschaftswissenschaft, FernUniversität in Hagen. - Hagen : Fernuniv., ZDB-ID 2833658-6. - Vol. 430 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Literaturverzeichnis: Blatt 25-28 |
| Classification: | Mathematische Statistik |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015205704