Real time estimation of stochastic volatility processes
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Publication:1931658
DOI10.1007/s10479-011-0976-2zbMath1254.91660MaRDI QIDQ1931658
László Gerencsér, Zsanett Orlovits
Publication date: 15 January 2013
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-011-0976-2
stochastic volatility; financial time series; recursive estimation; Markovian dynamics; GARCH processes
91B84: Economic time series analysis
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