Asymmetric stable stochastic volatility models : estimation, filtering, and forecasting
Year of publication: |
[2023]
|
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Authors: | Blasques, Francisco ; Koopman, Siem Jan ; Moussa, Karim |
Publisher: |
Amsterdam, The Netherlands : Tinbergen Institute |
Subject: | Filtering | Forecasting | Indirect Inference | Extremum Monte Carlo | Leverage | Bitcoin | Prognoseverfahren | Forecasting model | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis |
Extent: | 1 Online-Ressource (circa 40 Seiten) Illustrationen |
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Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. TI 2023, 077 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | hdl:10419/282890 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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