Simulated Likelihood Approximations for Stochastic Volatility Models
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Publication:4828198
DOI10.1111/1467-9469.00330zbMath1053.62090MaRDI QIDQ4828198
Publication date: 24 November 2004
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9469.00330
discrete-time observations; approximate likelihood; stochastic volatility models; Cox-Ingersoll-Ross process
62P05: Applications of statistics to actuarial sciences and financial mathematics
62M05: Markov processes: estimation; hidden Markov models
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
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