Sequential Monte Carlo for fractional stochastic volatility models (Q4554435)
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scientific article; zbMATH DE number 6979475
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| English | Sequential Monte Carlo for fractional stochastic volatility models |
scientific article; zbMATH DE number 6979475 |
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Sequential Monte Carlo for fractional stochastic volatility models (English)
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14 November 2018
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long memory stochastic volatility
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rough stochastic volatility
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parameter estimation
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particle filtering
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0.8102665543556213
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0.8063275814056396
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0.8014195561408997
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0.7991728782653809
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