Maximum likelihood estimation for stochastic volatility in mean models with heavy-tailed distributions

In this article, we introduce a likelihood-based estimation method for the stochastic volatility in mean (SVM) model with scale mixtures of normal (SMN) distributions (Abanto-Valle et al., 2012). Our estimation method is based on the fact that the powerful hidden Markov model (HMM) machinery can be...

Full description

Saved in:
Bibliographic Details
Published in:Appl Stoch Models Bus Ind
Main Authors: Abanto-Valle, Carlos A., Langrock, Roland, Chen, Ming-Hui, Cardoso, Michel V.
Format: Artigo
Language:Inglês
Published: 2017
Subjects:
Article
Online Access:https://ncbi.nlm.nih.gov/pmc/articles/PMC5621483/
https://ncbi.nlm.nih.gov/pubmed/28970740
https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1002/asmb.2246
Tags: Add Tag
No Tags, Be the first to tag this record!

Similar Items