models.h File Reference

Stochastic model classes and corresponding Prediction-Based estimating function. More...

#include <cmath>
#include <cstdlib>
#include <iostream>
#include <fstream>
#include <iomanip>
#include <ctime>
#include "linalg.h"
#include "linrdist.h"
#include "qscr.h"
#include "svd.h"
#include "util.h"

Go to the source code of this file.

Classes
class	MODEL
	Abstract model class. More...
class	PREESTMODEL
	Pre-est. model. More...
class	MARKOVMODEL
	Markov model class. More...
class	SVMODEL
	Stochastic volatility model. More...
class	SVCIR
	Stochastic volatility model with CIR process. More...
class	SVEOU
	Stochastic volatility model with Exponential Ornstein-Uhlenbeck-type process. More...
class	SVEOU1
	Stochastic volatility model with Exponential Ornstein-Uhlenbeck-type process with NEW Z_i. More...
Defines
#define	callMemberFunction(object, ptrToMember)   ((object).*(ptrToMember))
Typedefs
typedef safevector< double(*)(double)>	functionvector
typedef double(PREESTMODEL::*	PREpointerFn )(matrix par)

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Detailed Description

Stochastic model classes and corresponding Prediction-Based estimating function.

Author:

Klaus Holst

Date:

Wed Oct 13 14:21:51 2004

Definition in file models.h.

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