Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure
Jan Pospíšil, Tomáš Sobotka, Philipp Ziegler
| Year of publication: |
2019
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|---|---|
| Authors: | Pospíšil, Jan ; Sobotka, Tomáš ; Ziegler, Philipp |
| Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 57.2019, 6, p. 1935-1958
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| Subject: | Robustness analysis | Sensitivity analysis | Stochastic volatility models | Bootstrapping | Monte Carlo filtering | Theorie | Theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Sensitivitätsanalyse | Robustes Verfahren | Robust statistics | Monte-Carlo-Simulation | Monte Carlo simulation | Bootstrap-Verfahren | Bootstrap approach | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-018-1535-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012215941