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...
Saved in:
| Main Author: | Piotr Szczepocki |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
2024-03-01
|
| Series: | Ekonometria |
| Online Access: | https://journals.ue.wroc.pl/eada/article/view/1064 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
-
Weighted average ensemble for Cholesky-based covariance matrix estimation
by: Xiaoning Kang, et al.
Published: (2025-04-01) -
A parallel Cholesky algorithm for the solution of symmetric
linear systems
by: R. R. Khazal, et al.
Published: (2004-01-01) -
Pricing basket options using Monte Carlo simulation employing Cholesky decomposition and variance reduction techniques under the 2D stochastic Black–Scholes equation
by: Youness Saoudi, et al.
Published: (2025-09-01) -
The Algorithm of Angular Superresolution Using the Cholesky Decomposition and its Implementation Based on Parallel Computing Technology
by: Sergey E. Mishchenko, et al.
Published: (2022-03-01) -
Statistical package for computing precision covariance matrices via modified Cholesky decomposition
by: Elías D. Niño-Ruiz, et al.
Published: (2025-05-01)