Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine (Q2000331)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine |
scientific article; zbMATH DE number 7074743
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine |
scientific article; zbMATH DE number 7074743 |
Statements
Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine (English)
0 references
28 June 2019
0 references
stochastic volatility
0 references
non-Gaussian distribution
0 references
adaptive importance sampling
0 references
band matrix
0 references
deviance information criterion
0 references
cross-entropy
0 references
0 references
