Recursive estimation for continuous time stochastic volatility models
نویسندگان
چکیده
منابع مشابه
Recursive estimation for continuous time stochastic volatility models
Optimal as well as recursive parameter estimation for semimartingales had been studied in Thavaneswaran and Thompson [1, 2]. Recently, there has been a growing interest in modeling volatility of the observed process by nonlinear stochastic processes (Taylor [3]). In this paper, we study the recursive estimates for various classes of discretely sampled continuous time stochastic volatility model...
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ژورنال
عنوان ژورنال: Applied Mathematics Letters
سال: 2009
ISSN: 0893-9659
DOI: 10.1016/j.aml.2009.06.014