Gram Charlier Filter
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1. Estimação de modelos de duração condicional estocástica por meio da função característica empírica / Estimation of stochastic conditional duration models by means of the empirical characteristic function.
We propose the use of the empirical characteristic function (ECF) method to estimate the parameters of the stochastic conditional duration (SCD) model. In order to estimate the latent variables we propose the use of three alternatives: a Kalman filter, a filter based on numerical integration (quadrature) and a filter based on the 4th-order Gram-Charlier expa
Publicado em: 2008