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Numerical integration based gaussian mixture filters for maximum likelihood estimation of asymmetric stochastic volatility models

Kawakatsu, Hiroyuki

Numerical integration based gaussian mixture filters for maximum likelihood estimation of asymmetric stochastic volatility models 2007 - 2007 - 342 - 358 V. 10 Issue. 2

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: Stochastic volatility;Nonlinear filtering;Leverage effect;Numerical integration;Mixture gaussian

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