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

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Revision as of 08:15, 29 May 2024

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Estimation of stochastic volatility models via Monte Carlo maximum likelihood
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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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