Work

Numerical integration‐based Gaussian mixture filters for maximum likelihood estimation of asymmetric stochastic volatility models

Year: 2007

Type: article

Source: Econometrics Journal

DOI: 10.1111/j.1368-423x.2007.00211.x

Author: Hiroyuki Kawakatsu

Institution: Dublin City University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2165716465

FWCI: 1.173

Cites: 16

Cited by: 13

Related to: 10