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Shimada et al., 2005 - Google Patents

Estimation of stochastic volatility models: an approximation to the nonlinear state space representation

Shimada et al., 2005

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Document ID
2616225098568196901
Author
Shimada J
Tsukuda Y
Publication year
Publication venue
Communications in Statistics—Simulation and Computation®

External Links

Snippet

The stochastic volatility (SV) model can be regarded as a nonlinear state space model. This article proposes the Laplace approximation method to the nonlinear state space representation and applies it for estimating the SV models. We examine how the …
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