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Unrestricted maximum likelihood estimation of multivariate realized volatility models.

Jan VoglerVasyl Golosnoy
Published in: Eur. J. Oper. Res. (2023)
Keyphrases
  • maximum likelihood estimation
  • parameter estimation
  • multivariate gaussian
  • maximum likelihood
  • em algorithm
  • boltzmann machine
  • model selection
  • bayesian framework
  • probabilistic model
  • regression model