Composite likelihood estimation of stationary Gaussian processes with a view toward stochastic volatility

By Mikkel Bennedsen, Kim Christensen, Peter Christensen

Published 2024-03-19

Everscope rating

1703.4

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Composite likelihood estimation. Problem types: Parameter estimation, Time Series Analysis, Stochastic Volatility Modeling.

arXiv:2403.12653 · Paper rankings

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