Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
From MaRDI portal
Publication:274920
DOI10.1016/j.jeconom.2005.03.016zbMath1344.91016MaRDI QIDQ274920
Publication date: 25 April 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://digitalcommons.calpoly.edu/fin_fac/16
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G60: Numerical methods (including Monte Carlo methods)
91G70: Statistical methods; risk measures
91B70: Stochastic models in economics
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