Linear Filtering For Asymmetric Stochastic Volatility Models

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Linear Filtering for Asymmetric Stochastic Volatility Models

Linear Filtering for Asymmetric Stochastic Volatility Models
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ISBN-10 : OCLC:1291210032
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Book Synopsis Linear Filtering for Asymmetric Stochastic Volatility Models by : Chris Kirby

Download or read book Linear Filtering for Asymmetric Stochastic Volatility Models written by Chris Kirby and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Linear filtering techniques are used to develop a quasi maximum likelihood estimator for asymmetric stochastic volatility models. The estimator is straightforward to implement and performs well in Monte Carlo experiments.


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