Non-linear Filtering for Stochastic Volatility Models with Heavy Tails and Leverage

Non-linear Filtering for Stochastic Volatility Models with Heavy Tails and Leverage
Author: Adam Clements
Publisher:
Total Pages: 20
Release: 2005
Genre: Economics
ISBN:


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Non-linear Filtering for Stochastic Volatility Models with Heavy Tails and Leverage
Language: en
Pages: 20
Authors: Adam Clements
Categories: Economics
Type: BOOK - Published: 2005 - Publisher:

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Nonlinear filtering in stochastic volatility models
Language: da
Pages:
Authors:
Categories:
Type: BOOK - Published: 1998 - Publisher:

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Modelling Stochastic Volatility with Leverage and Jumps
Language: en
Pages: 0
Authors: Sheheryar Malik
Categories:
Type: BOOK - Published: 2010 - Publisher:

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In this paper we provide a unified methodology for conducting likelihood-based inference on the unknown parameters of a general class of discrete-time stochasti
Essays on Multivariate Stochastic Volatility Models
Language: en
Pages: 0
Authors: Sebastian Trojan
Categories:
Type: BOOK - Published: 2015 - Publisher:

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The first essay describes a very general stochastic volatility (SV) model specification with leverage, heavy tails, skew and switching regimes, using realized v
Nonlinear Filtering and Smoothing
Language: en
Pages: 353
Authors: Venkatarama Krishnan
Categories: Science
Type: BOOK - Published: 2013-10-17 - Publisher: Courier Corporation

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Most useful for graduate students in engineering and finance who have a basic knowledge of probability theory, this volume is designed to give a concise underst