Numerical integration‐based Gaussian mixture filters for maximum likelihood estimation of asymmetric stochastic volatility models

2007 ◽  
Vol 10 (2) ◽  
pp. 342-358 ◽  
Author(s):  
Hiroyuki Kawakatsu
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Numerical Integration ◽  
Stochastic Volatility ◽  
Likelihood Estimation ◽  
Gaussian Mixture ◽  
Stochastic Volatility Models ◽  
Volatility Models ◽  
Gaussian Mixture Filters
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