Estimation of geometric Brownian motion model with a t-distribution-based particle filter
Bridget Nkemnole, Olaide Abass
| Year of publication: |
2019
|
|---|---|
| Authors: | Nkemnole, Bridget ; Abass, Olaide |
| Published in: |
Journal of economic and financial sciences : JEF. - Johannesburg : Univ., ISSN 2312-2803, ZDB-ID 2824729-2. - Vol. 12.2019, 1, p. 1-9
|
| Subject: | Geometric Brownian motion | student-t distribution | normal distribution | drift | volatility | particle filter | Stochastischer Prozess | Stochastic process | Theorie | Theory | Statistische Verteilung | Statistical distribution | Volatilität | Volatility | Zustandsraummodell | State space model |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4102/jef.v12i1.159 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012018946