Numarical integration based Gaussian mixture filters for maximum likelihood estimation of asymmetric stochastic volatility models
Kawakatsu, Hiroyuki
Numarical integration based Gaussian mixture filters for maximum likelihood estimation of asymmetric stochastic volatility models J8302 2007 - 2007 - 342-358 V. 10 Issue. 2
Econometrics
Stochastic volatility;Nonlinear filtering;Leverage effect;Numericalintegration;Mixture gaussian;
Numarical integration based Gaussian mixture filters for maximum likelihood estimation of asymmetric stochastic volatility models J8302 2007 - 2007 - 342-358 V. 10 Issue. 2
Econometrics
Stochastic volatility;Nonlinear filtering;Leverage effect;Numericalintegration;Mixture gaussian;