State-space stochastic volatility models: A review of estimation algorithms

Applied Stochastic Models and Data Analysis

Volumn 12, Issue 4, 1996, Pages 265-279

  Capobianco, Enrico ^a  

^a UNIVERSITY OF PADOVA   (Italy)

Author keywords

Estimation algorithms; Generalized bilinear stochastic volatility processes; Linear and nonlinear state space representation; Simulation techniques; Stochastic volatility

Indexed keywords

ALGORITHMS; COMPUTER SIMULATION; ESTIMATION; RANDOM PROCESSES; STATE SPACE METHODS; TIME SERIES ANALYSIS;

ESTIMATION ALGORITHMS; STOCHASTIC VOLATILITY MODELS;

MATHEMATICAL MODELS;

EID: 0030410361     PISSN: 87550024     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1099-0747(199612)12:4<265::AID-ASM288>3.0.CO;2-N     Document Type: Review

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