A flexible state-space model with application to stochastic volatility

Saved in:

Authors and Corporations:

Gouriéroux, Christian (Author), Lu, Yang (Author)

Other Authors:

Lu, Yang [Author]

Type of Resource:

E-Book

Language:

English

published:

[Palaiseau] Centre de recherche en economie et statistique [2016]

Series:

Subjects:

Endogenous regime switching

polynomial expansion

composite likelihood

time irreversibility

volatility feedback

copula

Graue Literatur

Source:

Verbunddaten SWB
Lizenzfreie Online-Ressourcen

Parent items:
Centre de recherche en économie et statistique: Série des documents de travail