Simulated likelihood inference for stochastic volatility models using continuous particle filtering
Discrete-time stochastic volatility (SV) models have generated a considerable literature in financial econometrics. However, carrying out inference for these models is a difficult task and often relies on carefully customized Markov chain Monte Carlo techniques. Our contribution here is twofold. Fir...
Príomhchruthaitheoirí: | Pitt, M, Malik, S, Doucet, A |
---|---|
Formáid: | Journal article |
Foilsithe / Cruthaithe: |
2014
|
Míreanna comhchosúla
Míreanna comhchosúla
-
Simulated likelihood inference for stochastic volatility models using continuous particle filtering
de réir: Pitt, M, et al.
Foilsithe / Cruthaithe: (2014) -
Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.
de réir: Kim, S, et al.
Foilsithe / Cruthaithe: (2005) -
Stochastic volatility: likelihood inference and comparison with ARCH models.
de réir: Kim, S, et al.
Foilsithe / Cruthaithe: (1994) -
Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.
de réir: Kim, S, et al.
Foilsithe / Cruthaithe: (2003) -
Maximum Likelihood Inference for Asymmetric Stochastic Volatility Models
de réir: Omar Abbara, et al.
Foilsithe / Cruthaithe: (2022-12-01)