State-space stochastic volatility models: A review of estimation algorithms

DOI10.1002/(SICI)1099-0747(199612)12:4%3C265::AID-ASM288%3E3.0.CO;2-NMaRDI QIDQ4258939zbMATH OpenOpenAlexFDO

Authors Enrico Capobianco

Publication date 15 September 1999

Full work available at URL https://doi.org/10.1002/(sici)1099-0747(199612)12:4%3C265::aid-asm288%3E3.0.co;2-n

zbMATH Keywords

estimation algorithmsstochastic volatilitysimulation techniquesgeneralized bilinear stochastic volatility processeslinear and nonlinear state space representations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(6)

• On the use of non-linear transformations in stochastic volatility models
• Generalized dynamic linear models for financial time series
• Inference methods for stochastic volatility models
• Proper dispersion state space models for stochastic volatility
• Stochastic volatility models for exchange rates and their estimation using quasi-maximum-likelihood methods: an application to the South African Rand
• Dynamic paired comparison models with stochastic variances

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