Sequential Monte Carlo for fractional stochastic volatility models
Author:
Affiliation:
1. Department of Industrial & Enterprise Systems Engineering, University of Illinois at Urbana-Champaign, Urbana, IL, USA.
2. Department of Mathematics and Statistics, Boston University, Boston, MA, USA.
Funder
National Science Foundation
Simons Foundation
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2017.1327717
Reference28 articles.
1. Fractionally integrated generalized autoregressive conditional heteroskedasticity
2. The detection and estimation of long memory in stochastic volatility
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