On idiosyncratic stochasticity of financial leverage effects (Q2453988)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On idiosyncratic stochasticity of financial leverage effects |
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On idiosyncratic stochasticity of financial leverage effects (English)
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12 June 2014
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stochastic leverage
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random-walk time-varying parameter
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non-linear non-Gaussian state-space model
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maximum likelihood estimation
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particle filter
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