An empirical analysis of simulated maximum likelihood in the stochastic volatility model

MaRDI QIDQ2888198zbMATH OpenFDO

Authors Bovas Abraham, Ji Eun Choi

Publication date 30 May 2012

Published in Journal of Applied Statistical Science (Search for Journal in Brave)

zbMATH Keywords

efficient importance samplingheavy-tailed innovationnormal innovationparticle filtersimulated maximum likelihoodstochastic volatility model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cited in

(13)

• A hybrid data cloning maximum likelihood estimator for stochastic volatility models
• Estimation of stochastic volatility by using Ornstein-Uhlenbeck type models
• Accuracy of maximum likelihood parameter estimators for Heston stochastic volatility SDE
• A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models
• Simulation-based estimation methods for financial time series models
• Simulated maximum likelihood estimation of continuous time stochastic volatility models
• scientific article; zbMATH DE number 5002274 (Why is no real title available?)
• Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility
• Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions
• Simulated likelihood inference for stochastic volatility models using continuous particle filtering
• Simulated Likelihood Approximations for Stochastic Volatility Models
• Estimation of stochastic volatility models via auxiliary particles filter
• An efficient method for maximum likelihood estimation of a stochastic volatility model

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