Linear Filtering for Asymmetric Stochastic Volatility Models
Download or Read eBook Linear Filtering for Asymmetric Stochastic Volatility Models PDF written by Chris Kirby and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle.
Author | : Chris Kirby |
Publisher | : |
Total Pages | : |
Release | : 2006 |
ISBN-10 | : OCLC:1291210032 |
ISBN-13 | : |
Rating | : 4/5 (32 Downloads) |
Book Synopsis Linear Filtering for Asymmetric Stochastic Volatility Models by : Chris Kirby
Book excerpt: Linear filtering techniques are used to develop a quasi maximum likelihood estimator for asymmetric stochastic volatility models. The estimator is straightforward to implement and performs well in Monte Carlo experiments.