Estimation of financial indices volatility using a model with time-varying parameters.
Felipe A. TobarMarcos E. OrchardDanilo P. MandicAnthony G. ConstantinidesPublished in: CIFEr (2014)
Keyphrases
- statistical model
- probabilistic model
- parameter values
- parameter estimation
- mathematical model
- decision making
- maximum likelihood estimation
- computational model
- autoregressive
- sensitivity analysis
- measured data
- bayesian framework
- neural network model
- stock market
- conceptual model
- closed form
- maximum likelihood
- management system