On idiosyncratic stochasticity of financial leverage effects
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Publication:2453988
DOI10.1016/j.spl.2014.04.003zbMath1400.62234arXiv1312.5496OpenAlexW2091224911MaRDI QIDQ2453988
Publication date: 12 June 2014
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1312.5496
maximum likelihood estimationparticle filternon-linear non-Gaussian state-space modelrandom-walk time-varying parameterstochastic leverage
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