Maximum likelihood estimation of stochastic volatility models
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- G Sandmann & Siem Jan Koopman, 1996. "Maximum Likelihood Estimation of Stochastic Volatility Models," FMG Discussion Papers dp248, Financial Markets Group.
References listed on IDEAS
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Cited by:
- Yu, Jun & Yang, Zhenlin & Zhang, Xibin, 2006.
"A class of nonlinear stochastic volatility models and its implications for pricing currency options,"
Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2218-2231, December.
- Jun Yu & Zhenlin Yang & Xibin Zhang, 2002. "A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options," Monash Econometrics and Business Statistics Working Papers 17/02, Monash University, Department of Econometrics and Business Statistics.
- Andersen, Torben G. & Chung, Hyung-Jin & Sorensen, Bent E., 1999. "Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study," Journal of Econometrics, Elsevier, vol. 91(1), pages 61-87, July.
- Roberto Casarin & Domenico Sartore, 2007.
"Matrix-State Particle Filter for Wishart Stochastic Volatility Processes,"
Working Papers
2007_30, Department of Economics, University of Venice "Ca' Foscari".
- Roberto Casarin & Domenico sartore, 2008. "Matrix-State Particle Filter for Wishart Stochastic Volatility Processes," Working Papers 0816, University of Brescia, Department of Economics.
- Kleppe, Tore Selland & Skaug, Hans J., 2008. "Simulated maximum likelihood for general stochastic volatility models: a change of variable approach," MPRA Paper 12022, University Library of Munich, Germany.
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More about this item
Keywords
GARCH model; importance sampling; Kalman filter smoother; Monte Carlo simulation; quasi-maximum; stochastic volatility; unobserved components;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Statistics
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