Estimating stochastic volatility models through indirect inference

DOI10.1111/1368-423X.11007MaRDI QIDQ6166856zbMATH OpenFDO

Authors Chiara Monfardini

Publication date 7 July 2023

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1368-423X.11007

zbMATH Keywords

control variatesefficient Monte CarloEuler discretizationindirect inferenceshort-term interest ratestochastic differential equationvariance reduction techniques

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(15)

• A hybrid data cloning maximum likelihood estimator for stochastic volatility models
• Estimation and asymptotic covariance matrix for stochastic volatility models
• Simple estimators and inference for higher-order stochastic volatility models
• Likelihood-free inference with deep Gaussian processes
• Indirect inference in fractional short-term interest rate diffusions
• Inference for random coefficient volatility models
• Stochastic interest rate volatility modeling with a continuous-time GARCH(1,1) model
• Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models
• scientific article; zbMATH DE number 5010687 (Why is no real title available?)
• Inference in Lévy-type stochastic volatility models
• Robust estimation of stationary continuous-time ARMA models via indirect inference
• Bayesian Estimation and Prediction of Stochastic Volatility Models via INLA
• Indirect inference for dynamic panel models
• Sequential estimation of multivariate factor stochastic volatility models
• Time-varying correlations in multivariate unobserved components time series models

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