利用隐马尔可夫模型逼近杠杆效应和厚尾分布随机波动模型的极大似然估计

{"title":"利用隐马尔可夫模型逼近杠杆效应和厚尾分布随机波动模型的极大似然估计","authors":"Taehyung Kim, Jeong-gun Park","doi":"10.5351/kjas.2022.35.4.501","DOIUrl":null,"url":null,"abstract":"","PeriodicalId":43523,"journal":{"name":"Korean Journal of Applied Statistics","volume":" ","pages":""},"PeriodicalIF":0.2000,"publicationDate":"2022-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Maximum likelihood estimation of stochastic volatility models with leverage effect and fat-tailed distribution using hidden Markov model approximation\",\"authors\":\"Taehyung Kim, Jeong-gun Park\",\"doi\":\"10.5351/kjas.2022.35.4.501\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"\",\"PeriodicalId\":43523,\"journal\":{\"name\":\"Korean Journal of Applied Statistics\",\"volume\":\" \",\"pages\":\"\"},\"PeriodicalIF\":0.2000,\"publicationDate\":\"2022-08-31\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Korean Journal of Applied Statistics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.5351/kjas.2022.35.4.501\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Korean Journal of Applied Statistics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.5351/kjas.2022.35.4.501","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}