Linear filtering for asymmetric stochastic volatility models
From MaRDI portal
Publication:1929412
DOI10.1016/j.econlet.2006.03.005zbMath1255.62318MaRDI QIDQ1929412
Publication date: 8 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2006.03.005
Kalman filter; state-space model; leverage effect; quasi maximum likelihood; autoregressive volatility
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62G05: Nonparametric estimation
65C05: Monte Carlo methods
Related Items
Recursive estimation for continuous time stochastic volatility models, A FLEXIBLE STATE SPACE MODEL AND ITS APPLICATIONS
Cites Work