Local influence of stochastic volatility models

MaRDI QIDQ3609240zbMATH OpenFDO

Authors Guodong Ma, Xizhi Wu

Publication date 6 March 2009

zbMATH Keywords

influential pointsKalman filterquasi-maximum likelihood

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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(8)

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• Influence in stochastic volatility models
• Assessment of Local Influence in GARCH Processes
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• Local volatility function models under a benchmark approach
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• Stochastic local volatility models and the Wei-Norman factorization method

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