Sequential Monte Carlo for fractional stochastic volatility models
Alexandra Chronopoulou and Konstantinos Spiliopoulos
| Year of publication: |
March 2018
|
|---|---|
| Authors: | Chronopoulou, Alexandra ; Spiliopoulos, Konstantinos |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 3, p. 507-517
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| Subject: | Long memory stochastic volatility | Rough stochastic volatility | Parameter estimation | Particle filtering | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1327717 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011906404