Maximum likelihood estimation of the parameters of a system of stochastic differential equations that models the returns of the index of some classes of hedge funds (Q5432657): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
ReferenceBot (talk | contribs) Changed an Item |
||
| Property / cites work | |||
| Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: ARCH modeling in finance. A review of the theory and empirical evidence / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: A quadratically convergent method for linear programming / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Multiresolution Approximations and Wavelet Orthonormal Bases of L 2 (R) / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes / rank | |||
Normal rank | |||
Revision as of 13:25, 27 June 2024
scientific article; zbMATH DE number 5221193
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximum likelihood estimation of the parameters of a system of stochastic differential equations that models the returns of the index of some classes of hedge funds |
scientific article; zbMATH DE number 5221193 |
Statements
Maximum likelihood estimation of the parameters of a system of stochastic differential equations that models the returns of the index of some classes of hedge funds (English)
0 references
17 December 2007
0 references
inverse problem for PDE
0 references
maximum likelihood estimation
0 references
stochastic differential equation
0 references
wavelets
0 references
0 references
