Semiparametric stochastic volatility modelling using penalized splines (Q2354745)
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scientific article; zbMATH DE number 6464080
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Semiparametric stochastic volatility modelling using penalized splines |
scientific article; zbMATH DE number 6464080 |
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Semiparametric stochastic volatility modelling using penalized splines (English)
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24 July 2015
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B-splines
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cross-validation
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forward algorithm
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hidden Markov model
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numerical integration
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penalized likelihood
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0.8287453055381775
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0.8224263787269592
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0.8168941736221313
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0.7917192578315735
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0.7731607556343079
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