Estimation of stochastic volatility models via Monte Carlo maximum likelihood

DOI10.1016/S0304-4076(98)00016-5zbMath0937.62110OpenAlexW2169932694WikidataQ126778615 ScholiaQ126778615MaRDI QIDQ1305633

Siem Jan Koopman, Gleb Sandmann

Publication date: 22 September 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(98)00016-5

zbMATH Keywords

importance samplingstochastic volatilityquasi-maximum likelihoodGARCH modelunobserved componentsKalman filter smoother

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

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