Semiparametric stochastic volatility modelling using penalized splines

DOI10.1007/s00180-014-0547-5zbMath1317.65038arXiv1308.5836OpenAlexW1868887478MaRDI QIDQ2354745

Alexander Sohn, Thomas Kneib, Roland Langrock, Théo Michelot

Publication date: 24 July 2015

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1308.5836

zbMATH Keywords

numerical integrationhidden Markov modelcross-validationB-splinespenalized likelihoodforward algorithm

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Skew selection for factor stochastic volatility models, Spline‐based nonparametric inference in general state‐switching models, A measure of market volatility based on F-transform, Estimation and application of semiparametric stochastic volatility models based on kernel density estimation and hidden Markov models

Uses Software

• SemiPar

Cites Work

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