Numerical optimization of the likelihood function based on Kalman filter in the GARCH models

Numerical optimization of the likelihood function based on Kalman filter in the GARCH models

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Bibliographic Details
Date:2022
Main Author: M. Benmoumen
Format: Article
Language:English
Published: 2022
Series:Mathematical Modeling and Computing
Online Access:http://jnas.nbuv.gov.ua/article/UJRN-0001373429
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Journal Title:Library portal of National Academy of Sciences of Ukraine | LibNAS

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Library portal of National Academy of Sciences of Ukraine | LibNAS
id open-sciencenbuvgovua-2171
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spelling open-sciencenbuvgovua-21712023-09-12T18:00:48Z Numerical optimization of the likelihood function based on Kalman filter in the GARCH models M. Benmoumen 2312-9794 2022 en Mathematical Modeling and Computing http://jnas.nbuv.gov.ua/article/UJRN-0001373429 Article
institution Library portal of National Academy of Sciences of Ukraine | LibNAS
collection Open-Science
language English
series Mathematical Modeling and Computing
spellingShingle Mathematical Modeling and Computing
M. Benmoumen
Numerical optimization of the likelihood function based on Kalman filter in the GARCH models
format Article
author M. Benmoumen
author_facet M. Benmoumen
author_sort M. Benmoumen
title Numerical optimization of the likelihood function based on Kalman filter in the GARCH models
title_short Numerical optimization of the likelihood function based on Kalman filter in the GARCH models
title_full Numerical optimization of the likelihood function based on Kalman filter in the GARCH models
title_fullStr Numerical optimization of the likelihood function based on Kalman filter in the GARCH models
title_full_unstemmed Numerical optimization of the likelihood function based on Kalman filter in the GARCH models
title_sort numerical optimization of the likelihood function based on kalman filter in the garch models
publishDate 2022
url http://jnas.nbuv.gov.ua/article/UJRN-0001373429
work_keys_str_mv AT mbenmoumen numericaloptimizationofthelikelihoodfunctionbasedonkalmanfilterinthegarchmodels
first_indexed 2025-07-17T10:39:12Z
last_indexed 2025-07-17T10:39:12Z
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