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1:25:09
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C-RAM
Lecture 5.2: Risk Management: Stochastic Volatility Model and Estimation via Kalman Filter and MLE
here, we introduce the Kalman Filter with a slightly more complex example. We filter the 2nd moment based on realized returns. On a first thought this is hardly possible, yet, with deterministic transformation of the measurements, we make the 2nd moment hidden state variable affect the first moment of squared log returns. now the linear KF ...
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