Simulated likelihood inference for stochastic volatility models using continuous particle filtering

Simulated likelihood inference for stochastic volatility models using continuous particle filtering

Бусад хувилбаруудыг харуулах (1)

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...

Бүрэн тодорхойлолт

Номзүйн дэлгэрэнгүй
Үндсэн зохиолчид:	Pitt, M, Malik, S, Doucet, A
Формат:	Journal article
Хэвлэсэн:	2014

Ижил төстэй зүйлс

Simulated likelihood inference for stochastic volatility models using continuous particle filtering
-н: Pitt, M, зэрэг
Хэвлэсэн: (2014)

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.
-н: Kim, S, зэрэг
Хэвлэсэн: (2005)

Stochastic volatility: likelihood inference and comparison with ARCH models.
-н: Kim, S, зэрэг
Хэвлэсэн: (1994)

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.
-н: Kim, S, зэрэг
Хэвлэсэн: (2003)

Maximum Likelihood Inference for Asymmetric Stochastic Volatility Models
-н: Omar Abbara, зэрэг
Хэвлэсэн: (2022-12-01)

Stochastic volatility with leverage: fast likelihood inference.
-н: Omori, Y, зэрэг
Хэвлэсэн: (2004)

Stochastic Volatility with Leverage: Fast and Efficient Likelihood Inference.
-н: Omori, Y, зэрэг
Хэвлэсэн: (2007)

Stochastic volatility with leverage: fast and efficient likelihood inference
-н: Omori, Y, зэрэг
Хэвлэсэн: (2007)

Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models.
-н: Flury, T, зэрэг
Хэвлэсэн: (2008)

Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models.
-н: Flury, T, зэрэг
Хэвлэсэн: (2011)

Gradient-free maximum likelihood parameter estimation with particle filters
-н: Poyiadjis, G, зэрэг
Хэвлэсэн: (2006)

Likelihood based inference for diffusion driven models.
-н: Chib, S, зэрэг
Хэвлэсэн: (2004)

Likelihood-free Bayesian inference for dynamic, stochastic simulators in the social sciences
-н: Dyer, J
Хэвлэсэн: (2022)

Inference for Levy-Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo
-н: Jasra, A, зэрэг
Хэвлэсэн: (2011)

Estimation of Dynamic Panel Data Models with Stochastic Volatility Using Particle Filters
-н: Wen Xu
Хэвлэсэн: (2016-10-01)

Optimisation of particle filters using simultaneous perturbation stochastic approximation
-н: Chan, T, зэрэг
Хэвлэсэн: (2003)

In all likelihood : statistical modelling and inference using likelihood /
-н: 324497 Pawitan, Yudi
Хэвлэсэн: (2001)

Filtering via Simulation: Auxiliary Particle Filters.
-н: Pitt, M, зэрэг
Хэвлэсэн: (1999)

Filtering via simulation: auxiliary particle filters.
-н: Pitt, M, зэрэг
Хэвлэсэн: (1997)

Filtering via simulation: auxiliary particle filters
-н: Pitt, M, зэрэг
Хэвлэсэн: (1999)

Robust inference on parameters via particle filters and sandwich covariance matrices
-н: Shephard, N, зэрэг
Хэвлэсэн: (2012)

Robust inference on parameters via particle filters and sandwich covariance matrices.
-н: Shephard, N, зэрэг
Хэвлэсэн: (2012)

Research on Financial Default Model with Stochastic Intensity Using Filtered Likelihood Method
-н: Xiangdong Liu, зэрэг
Хэвлэсэн: (2023-07-01)

Robustness in stochastic filtering and maximum likelihood estimation for SDEs
-н: Diehl, J, зэрэг
Хэвлэсэн: (2014)

Particle methods for maximum likelihood estimation in latent variable models
-н: Johansen, A, зэрэг
Хэвлэсэн: (2008)

Maximum likelihood inference in weakly identified dynamic stochastic general equilibrium models
-н: Andrews, Isaiah Smith, зэрэг
Хэвлэсэн: (2016)

Discussions on continuous stochastic volatility models
-н: Alhagyan, Mohammed, зэрэг
Хэвлэсэн: (2020)

Bayesian Inference for Long Memory Stochastic Volatility Models
-н: Pedro Chaim, зэрэг
Хэвлэсэн: (2024-11-01)

Asymptotic properties of recursive particle maximum likelihood estimation
-н: Tadic, VZB, зэрэг
Хэвлэсэн: (2020)

Asymptotic properties of recursive particle maximum likelihood estimation
-н: Tadic, VZB, зэрэг
Хэвлэсэн: (2019)

Dynamic Indoor Localization Using Maximum Likelihood Particle Filtering
-н: Wenxu Wang, зэрэг
Хэвлэсэн: (2021-02-01)

Forecasting Return Volatility of the CSI 300 Index Using the Stochastic Volatility Model with Continuous Volatility and Jumps
-н: Xu Gong, зэрэг
Хэвлэсэн: (2014-01-01)

Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter
-н: Manabu Asai
Хэвлэсэн: (2023-07-01)

A Estimation of Stochastic Volatility Models Using Optimized Filtering Algorithms
-н: Saba Infante, зэрэг
Хэвлэсэн: (2019-01-01)

Simulation-Based Likelihood Inference for Limited Dependent Processes.
-н: Manrique, A, зэрэг
Хэвлэсэн: (1998)

Simulation-based likelihood inference for limited dependent processes
-н: Manrique, A, зэрэг
Хэвлэсэн: (1998)

Particle filters for graphical models
-н: Briers, M, зэрэг
Хэвлэсэн: (2006)

Stochastic parameterization identification using ensemble Kalman filtering combined with maximum likelihood methods
-н: Manuel Pulido, зэрэг
Хэвлэсэн: (2018-01-01)

A binned likelihood for stochastic models
-н: Argüelles, C. A, зэрэг
Хэвлэсэн: (2021)

A binned likelihood for stochastic models
-н: Argüelles, C.A., зэрэг
Хэвлэсэн: (2022)