Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
Year of publication: |
2006
|
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Authors: | Durham, Garland B. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 133.2006, 1, p. 273-305
|
Subject: | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Kapitaleinkommen | Capital income | Monte-Carlo-Simulation | Monte Carlo simulation | Schätztheorie | Estimation theory |
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