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Numerical integration-based Gaussian mixture filters for maximum likelihood estimation of asymmetric stochastic volatility models
Kawakatsu, Hiroyuki
- In:
The econometrics journal
10
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2007
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2
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pp. 342-358
Persistent link: https://www.econbiz.de/10003560004
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Simple factor realized stochastic volatility models
Kawakatsu, Hiroyuki
- In:
Journal of time series econometrics
15
(
2023
)
1
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pp. 79-110
Persistent link: https://www.econbiz.de/10014288373
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