Latent State and Parameter Estimation of Stochastic Volatility/Jump Models via Particle Filtering
Particle filtering in stochastic volatility/jump models has gained significant attention in the last decade, with many distinguished researchers adding their contributions to this new field. Golightly (2009), Carvalho et al. (2010), Johannes et al. (2009) and Aihara et al. (2008) all attempt to exte...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2019
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| Online Access: | http://hdl.handle.net/11427/29223 |