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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Maximum likelihood estimation for stochastic volatility in mean models with heavy‐tailed distributions
scientific article; zbMATH DE number 7015514

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    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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