## Abstract Recently, Fridman and Harris proposed a method which allows one to approximate the likelihood of the basic stochastic volatility model. They also propose to estimate the parameters of such a model maximising the approximate likelihood by an algorithm which makes use of numerical derivat
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Markovian representation of a bilinear time series model and maximum likelihood estimation of the parameters
β Scribed by Sarma Yadavalli, VS; Singh, N.
- Book ID
- 126645525
- Publisher
- Taylor and Francis Group
- Year
- 2000
- Tongue
- English
- Weight
- 276 KB
- Volume
- 18
- Category
- Article
- ISSN
- 0736-2994
No coin nor oath required. For personal study only.
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