Non-linear filtering for stochastic volatility models with heavy tails and leverage
Adam Clements & Scott White
| Year of publication: |
2005
|
|---|---|
| Authors: | Clements, Adam ; White, Scott I. |
| Publisher: |
Brisbane QLD : Queensland Univ. of Techn., School of Economics and Finance |
| Subject: | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
| Extent: | 20 S |
|---|---|
| Series: | Discussion papers in economics, finance and international competitiveness. - Brisbane, ISSN 1324-5910, ZDB-ID 2419128-0. - Vol. 192 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Internetausg.: http://www.bus.qut.edu.au/schools/economics/research/documents/No192Clements_White.pdf |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10002803655