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State space analysis of stochastic response cumulants

✍ Scribed by Loren D. Lutes


Book ID
103642029
Publisher
Elsevier Science
Year
1986
Tongue
English
Weight
439 KB
Volume
1
Category
Article
ISSN
0266-8920

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Stochastic volatility models (SVMs) represent an important framework for the analysis of financial time series data, together with ARCH-type models; but unlike the latter, the former, at least from the statistical point of view, cannot rely on the possibility of obtaining exact inference, in particu