Showing 1 - 10 of 17
We consider Taylor’s stochastic volatility model (SVM) when the innovations of the hidden log-volatility process have a Laplace distribution (ℓ <Subscript>1</Subscript> exponential density), rather than the standard Gaussian distribution (ℓ <Subscript>2</Subscript>) usually employed. Recently many investigations have employed ℓ <Subscript>1</Subscript>...</subscript></subscript></subscript>
Persistent link: https://www.econbiz.de/10010993065
Persistent link: https://www.econbiz.de/10015211455
Persistent link: https://www.econbiz.de/10012822265
Persistent link: https://www.econbiz.de/10012642571
Persistent link: https://www.econbiz.de/10012006882
Persistent link: https://www.econbiz.de/10013448150
Persistent link: https://www.econbiz.de/10014329094
The proposed smooth blockwise iterative thresholding estimator (SBITE) is a model selection technique defined as a fixed point reached by iterating a likelihood gradient-based thresholding function. The smooth James--Stein thresholding function has two regularization parameters λ and ν, and a...
Persistent link: https://www.econbiz.de/10010971124
Persistent link: https://www.econbiz.de/10005238710
In a sailboat race, the navigator’s attempts to plot the fastest possible course are hindered by shifty winds. We present mathematical models appropriate for this situation, which use statistical analysis of wind fluctuations and are amenable to stochastic optimization methods. We describe the...
Persistent link: https://www.econbiz.de/10011246063