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Description
  • A new technique for nonlinear state and parameter estimation of the discrete time stochastic volatility models is developed. Algorithm of Gibbs sampler and simulation filters are used to construct a simulation tool that reflects both inherent model variability and parameter uncertainty. The proposed chain converges to equilibrium enabling to estimate the unobserved volatilities and unknown model parameters distributions. The estimation algorithm is demonstrated in a numerical example.
  • A new technique for nonlinear state and parameter estimation of the discrete time stochastic volatility models is developed. Algorithm of Gibbs sampler and simulation filters are used to construct a simulation tool that reflects both inherent model variability and parameter uncertainty. The proposed chain converges to equilibrium enabling to estimate the unobserved volatilities and unknown model parameters distributions. The estimation algorithm is demonstrated in a numerical example. (en)
Title
  • Simulation Monte Carlo methods to extended stochastic volatility models
  • Simulation Monte Carlo methods to extended stochastic volatility models (en)
skos:prefLabel
  • Simulation Monte Carlo methods to extended stochastic volatility models
  • Simulation Monte Carlo methods to extended stochastic volatility models (en)
skos:notation
  • RIV/49777513:23520/01:00064613!RIV/2002/GA0/235202/N
http://linked.open.../vavai/riv/strany
  • S. 1-7
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GA102/01/0021), Z(MSM 235200004)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 695804
http://linked.open...ai/riv/idVysledku
  • RIV/49777513:23520/01:00064613
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • Stochastic volatility model; Nonlinear estimation; Monte Carlo methods (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [D6C267CEE81D]
http://linked.open...v/mistoKonaniAkce
  • Millet
http://linked.open...i/riv/mistoVydani
  • Millet
http://linked.open...i/riv/nazevZdroje
  • Simulation Monte Carlo methods to extended stochastic volatility models
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...ocetUcastnikuAkce
http://linked.open...nichUcastnikuAkce
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Soukup, Tomáš
  • Šimandl, Miroslav
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
http://linked.open...n/vavai/riv/zamer
number of pages
http://purl.org/ne...btex#hasPublisher
  • Academic Press
https://schema.org/isbn
  • 3-906454-26-6
http://localhost/t...ganizacniJednotka
  • 23520
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