Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH
Year of publication: |
2013
|
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Authors: | Niu, Wei-fang |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 17.2013, 4, p. 421-438
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Subject: | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Volatilität | Volatility | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis |
Extent: | graph. Darst. |
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Type of publication: | Article |
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | 10.1515/snde-2012-0017 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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