Numerical integration-based Gaussian mixture filters for maximum likelihood estimation of asymmetric stochastic volatility models
Hiroyuki Kawakatsu
| Year of publication: |
2007
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|---|---|
| Authors: | Kawakatsu, Hiroyuki |
| Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-4221, ZDB-ID 1412265-0. - Vol. 10.2007, 2, p. 342-358
|
| Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Statistische Methode | Statistical method |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003560004