Determining a stable relationship between hedge fund index HFRI-equity and S\&P 500 behaviour, using filtering and maximum likelihood (Q5852183)
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scientific article; zbMATH DE number 5663117
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| English | Determining a stable relationship between hedge fund index HFRI-equity and S\&P 500 behaviour, using filtering and maximum likelihood |
scientific article; zbMATH DE number 5663117 |
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Determining a stable relationship between hedge fund index HFRI-Equity and S&P 500 behaviour, using filtering and maximum likelihood (English)
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26 January 2010
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stochastic volatility model
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filtering theory
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calibration problem
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0.7744950652122498
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0.7554673552513123
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0.7189760804176331
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0.7167630791664124
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