Sequential Monte Carlo for fractional stochastic volatility models

Keyphrases

• Volatility 100%
• Sequential Monte Carlo 100%
• Fractional Stochastic Volatility Model 100%
• Long-range Dependence 66%
• Anti-persistent 66%
• Simulation Study 33%
• Central Limit Theorem 33%
• Asymptotic Properties 33%
• Monte Carlo Methodology 33%
• S&P 500 33%
• Long Memory 33%
• Asymptotic Normality 33%
• Parameter Filtering 33%
• State Filter 33%

Mathematics

• Monte Carlo 100%
• Stochastic Volatility Model 100%
• Simulation Study 50%
• Central Limit Theorem 50%
• Asymptotic Property 50%
• Asymptotic Normality 50%