๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

The estimation of a state space model by estimating functions with an application

โœ Scribed by Demetrios Papanastassiou; Demetrios Ioannides


Book ID
111014243
Publisher
John Wiley and Sons
Year
2004
Tongue
English
Weight
373 KB
Volume
58
Category
Article
ISSN
0039-0402

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โœ Capobianco, Enrico ๐Ÿ“‚ Article ๐Ÿ“… 1996 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 904 KB

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