Maximum likelihood estimation for stochastic volatility in mean models with heavy-tailed distributions (Q4620217)
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scientific article; zbMATH DE number 7015514
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| English | Maximum likelihood estimation for stochastic volatility in mean models with heavy-tailed distributions |
scientific article; zbMATH DE number 7015514 |
Statements
Maximum likelihood estimation for stochastic volatility in mean models with heavy‐tailed distributions (English)
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8 February 2019
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feedback effect
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non-Gaussian and nonlinear state-space models
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scale mixture of normal distributions
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value-at-risk
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0.8381859660148621
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0.8330563306808472
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0.8246666789054871
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0.8223333358764648
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