Linear filtering for asymmetric stochastic volatility models (Q1929412)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Linear filtering for asymmetric stochastic volatility models |
scientific article |
Statements
Linear filtering for asymmetric stochastic volatility models (English)
0 references
8 January 2013
0 references
Kalman filter
0 references
state-space model
0 references
autoregressive volatility
0 references
leverage effect
0 references
quasi maximum likelihood
0 references
