Open AccessParameter Estimations of Stochastic Volatility Model by Modified Adaptive Kalman Filter with QML
Author(s) -
Atanu Das
Publication year - 2019
Publication title -
journal of mechanics of continua and mathematical sciences
Language(s) - English
Resource type - Journals
eISSN - 2454-7190
pISSN - 0973-8975
DOI - 10.26782/jmcms.2019.04.00024
Subject(s) - kalman filter , stochastic volatility , econometrics , volatility (finance) , extended kalman filter , moving horizon estimation , computer science , mathematics , economics , statistics
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