Particle filters for Markov switching stochastic volatility models
Yun Bao, Carl Chiarella, and Boda Kang
| Year of publication: |
2018
|
|---|---|
| Authors: | Yun, Bao ; Chiarella, Carl ; Kang, Boda |
| Published in: |
The Oxford handbook of computational economics and finance. - New York, NY : Oxford University Press, ISBN 978-0-19-984437-1. - 2018, p. 249-266
|
| Subject: | Markov-Kette | Markov chain | Volatilität | Volatility | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Algorithmus | Algorithm | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011952212