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-NzbMATH Open0924.62107OpenAlexW2046732159MaRDI QIDQ4258939FDOQ4258939

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

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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)

Cited In (6)

• Generalized dynamic linear models for financial time series
• On the use of non-linear transformations in stochastic volatility models
• 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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