Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions (Q4554510)
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scientific article; zbMATH DE number 6979539
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| English | Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions |
scientific article; zbMATH DE number 6979539 |
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Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions (English)
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14 November 2018
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stochastic volatility
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Lévy processes
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maximum likelihood estimation
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gradient estimation
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characteristic function
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hidden Markov structure
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0.8532587885856628
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0.8012104034423828
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0.7968600988388062
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0.7920010685920715
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0.7800588607788086
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