Estimation of the Cholesky Multivariate Stochastic Volatility Model Using Iterated Filtering
Aim: The paper aims to propose a new estimation method for the Cholesky Multivariate Stochastic Volatility Model based on the iterated filtering algorithm (Ionides et al., 2006, 2015). Methodology: The iterated filtering method is a frequentist-based technique that through multiple repetitions of th...
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| Format: | Article |
| Language: | English |
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Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
2024-03-01
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| Series: | Ekonometria |
| Online Access: | https://journals.ue.wroc.pl/eada/article/view/1064 |
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