Particle Filters for Markov Switching Stochastic Volatility Models
Year of publication: |
2018
|
---|---|
Authors: | Yun, Bao ; Chiarella, Carl ; Kang, Boda |
Published in: |
The Oxford handbook of computational economics and finance. - New York : Oxford University Press, ISBN 978-0-19-998342-1. - 2018
|
Subject: | Markov-Kette | Markov chain | Volatilität | Volatility | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Algorithmus | Algorithm | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process |
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