Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling (Q1927096): Difference between revisions

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Property / author: Hans Julius Skaug / rank
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Latest revision as of 00:38, 6 July 2024

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Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling
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    Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling (English)
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    30 December 2012
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    accelerated sequential importance sampling
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    Heston model
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    Laplace importance sampler
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    simulated maximum likelihood
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    stochastic volatility
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