Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models (Q274920): Difference between revisions

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+Modeling and Forecasting Realized Volatility
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+Alternative models for stock price dynamics.
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+Markov chain Monte Carlo methods for stochastic volatility models.
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+Estimation of stochastic volatility models with diagnostics
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+Econometric specification of stochastic discount factor models
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+Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo
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+Filtering via Simulation: Auxiliary Particle Filters
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+Estimation of stochastic volatility models via Monte Carlo maximum likelihood
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+Likelihood analysis of non-Gaussian measurement time series
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