Estimation of stochastic volatility models via Monte Carlo maximum likelihood (Q1305633): Difference between revisions
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Revision as of 02:53, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of stochastic volatility models via Monte Carlo maximum likelihood |
scientific article |
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Estimation of stochastic volatility models via Monte Carlo maximum likelihood (English)
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22 September 1999
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GARCH model
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importance sampling
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Kalman filter smoother
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quasi-maximum likelihood
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unobserved components
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stochastic volatility
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