ASV (Q92877): Difference between revisions
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Latest revision as of 19:56, 12 March 2024
Stochastic Volatility Models with or without Leverage
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ASV |
Stochastic Volatility Models with or without Leverage |
Statements
15 February 2024
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The efficient Markov chain Monte Carlo estimation of stochastic volatility models with and without leverage (asymmetric and symmetric stochastic volatility models). Further, it computes the logarithm of the likelihood given parameters using particle filters.
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expanded from: GPL (≥ 2) (English)
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