Numerical integration‐based Gaussian mixture filters for maximum likelihood estimation of asymmetric stochastic volatility models
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Publication:5427674
DOI10.1111/j.1368-423X.2007.00211.xzbMath1122.62085MaRDI QIDQ5427674
Publication date: 21 November 2007
Published in: The Econometrics Journal (Search for Journal in Brave)
numerical integrationstochastic volatilitynonlinear filteringleverage effectautoregressive stochastic models
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Cites Work
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- On leverage in a stochastic volatility model
- Stochastic volatility with leverage: fast and efficient likelihood inference
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood
- Smoothness priors analysis of time series
- Gaussian filters for nonlinear filtering problems
- Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
- Gaussian sum particle filtering
- Nonlinear Bayesian estimation using Gaussian sum approximations
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