Estimation of stochastic volatility models: an approximation to the nonlinear state space representation
J Shimada, Y Tsukuda - Communications in Statistics—Simulation …, 2005 - Taylor & Francis
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 …
article proposes the Laplace approximation method to the nonlinear state space …
Estimation of Stochastic Volatility Models: An Approximation to the Nonlinear State Space
J Shimada, Y Tsukuda - Econometric Society 2004 Far Eastern …, 2004 - ideas.repec.org
The stochastic volatility (SV) models had not been popular as the ARCH (autoregressive
conditional heteroskedasticity) models in practical applications until recent years even …
conditional heteroskedasticity) models in practical applications until recent years even …
[PDF][PDF] Estimation of Stochastic Volatility Models: An Approximation to the Nonlinear State Space Representation
J Shimada, Y Tsukuda - 2004 - repec.org
The stochastic volatility (SV) model can be regarded as a nonlinear state space model. This
paper proposes the Laplace approximation method to the nonlinear state space …
paper proposes the Laplace approximation method to the nonlinear state space …
[PDF][PDF] Estimation of Stochastic Volatility Models: An Approximation to the Nonlinear State Space Representation
J Shimada, Y Tsukuda - 2004 - fmwww.bc.edu
The stochastic volatility (SV) model can be regarded as a nonlinear state space model. This
paper proposes the Laplace approximation method to the nonlinear state space …
paper proposes the Laplace approximation method to the nonlinear state space …
[CITATION][C] Estimation of stochastic volatility models: An approximation to the nonlinear state space representation
J SHIMADA, Y TSUKUDA - Communications in statistics …, 2005 - pascal-francis.inist.fr
Estimation of stochastic volatility models: An approximation to the nonlinear state space
representation CNRS Inist Pascal-Francis CNRS Pascal and Francis Bibliographic …
representation CNRS Inist Pascal-Francis CNRS Pascal and Francis Bibliographic …
Estimation of Stochastic Volatility Models: An Approximation to the Nonlinear State Space
J Shimada, Y Tsukuda - 2004 - econpapers.repec.org
The stochastic volatility (SV) models had not been popular as the ARCH (autoregressive
conditional heteroskedasticity) models in practical applications until recent years even …
conditional heteroskedasticity) models in practical applications until recent years even …
[PDF][PDF] Estimation of Stochastic Volatility Models: An Approximation to the Nonlinear State Space Representation
J Shimada, Y Tsukuda - 2004 - core.ac.uk
The stochastic volatility (SV) model can be regarded as a nonlinear state space model. This
paper proposes the Laplace approximation method to the nonlinear state space …
paper proposes the Laplace approximation method to the nonlinear state space …
[PDF][PDF] Estimation of Stochastic Volatility Models: An Approximation to the Nonlinear State Space Representation
J Shimada, Y Tsukuda - 2004 - scholar.archive.org
The stochastic volatility (SV) model can be regarded as a nonlinear state space model. This
paper proposes the Laplace approximation method to the nonlinear state space …
paper proposes the Laplace approximation method to the nonlinear state space …
[CITATION][C] Estimation of stochastic volatility models: An approximation to the nonlinear state space representation
J SHIMADA, Y TSUKUDA - Communications in statistics …, 2005 - Taylor & Francis