Estimation of stochastic volatility models via Monte Carlo maximum likelihood (Q1305633): Difference between revisions

@@ Property / cites work @@
+Q4372026
@@ Property / cites work: Q4372026 / rank @@
+Normal rank
@@ Property / cites work @@
+Polar Generation of Random Variates with the t-Distribution
+Normal rank
@@ Property / cites work @@
+ARCH modeling in finance. A review of the theory and empirical evidence
+Normal rank
@@ Property / cites work @@
+Q4368993
@@ Property / cites work: Q4368993 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
+Normal rank
@@ Property / cites work @@
+A cross-validation filter for time series models
@@ Property / cites work: A cross-validation filter for time series models / rank @@
+Normal rank
@@ Property / cites work @@
+The simulation smoother for time series models
@@ Property / cites work: The simulation smoother for time series models / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo maximum likelihood estimation for non-Gaussian state space models
+Normal rank
@@ Property / cites work @@
+Q4884570
@@ Property / cites work: Q4884570 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3374317
@@ Property / cites work: Q3374317 / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate Stochastic Variance Models
@@ Property / cites work: Multivariate Stochastic Variance Models / rank @@
+Normal rank
@@ Property / cites work @@
+Non-Gaussian State-Space Modeling of Nonstationary Time Series
+Normal rank
@@ Property / cites work @@
+Disturbance smoother for state space models
@@ Property / cites work: Disturbance smoother for state space models / rank @@
+Normal rank
@@ Property / cites work @@
+Q3374319
@@ Property / cites work: Q3374319 / rank @@
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
+Normal rank
@@ Property / cites work @@
+Q4791405
@@ Property / cites work: Q4791405 / rank @@
+Normal rank
@@ Property / cites work @@
+Likelihood analysis of non-Gaussian measurement time series
+Normal rank
@@ Property / cites work @@
+Q5445942
@@ Property / cites work: Q5445942 / rank @@
+Normal rank
@@ Property / cites work @@
+MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/s0304-4076(98)00016-5
+Normal rank
@@ Property / OpenAlex ID @@
+W2169932694
@@ Property / OpenAlex ID: W2169932694 / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q126778615
@@ Property / Wikidata QID: Q126778615 / rank @@
+Normal rank