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 algorithmsgeneralized bilinear stochastic volatility processeslinear and nonlinear state space representationssimulation techniquesstochastic volatility

Mathematics Subject Classification ID

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

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Cited in

(7)

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

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