Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models (Q5485110): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1080/07474930600712848 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W1972457796 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate Stochastic Volatility: A Review / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic volatility in asset prices. Estimation with simulated maximum likelihood / rank
 
Normal rank
Property / cites work
 
Property / cites work: The simulation smoother for time series models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Monte Carlo maximum likelihood estimation for non-Gaussian state space models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2760417 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A simple and efficient simulation smoother for state space time series analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bayesian Inference in Econometric Models Using Monte Carlo Integration / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate Stochastic Variance Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Statistical algorithms for models in state space using SsfPack 2.2 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of stochastic volatility models via Monte Carlo maximum likelihood / rank
 
Normal rank
Property / cites work
 
Property / cites work: Local scale models. State space alternative to integraded GARCH processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Likelihood analysis of non-Gaussian measurement time series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5445942 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison / rank
 
Normal rank

Latest revision as of 18:44, 24 June 2024

scientific article; zbMATH DE number 5050410
Language Label Description Also known as
English
Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models
scientific article; zbMATH DE number 5050410

    Statements

    Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models (English)
    0 references
    0 references
    0 references
    28 August 2006
    0 references
    importance sampling
    0 references
    Monte Carlo likelihood
    0 references
    stochastic volatility
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references