カルマン・フィルターによるRealized Stochastic Volatilityモデルの疑似最尤推定について

DOI10.11329/JJSSJ.48.215MaRDI QIDQ5011476zbMATH OpenOpenAlexFDO

Authors Manabu Asai

Publication date 27 August 2021

Full work available at URL http://altmetrics.ceek.jp/article/www.jstage.jst.go.jp/article/jjssj/48/2/48_215/_article/-char/ja/

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(1)

• Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter

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