Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers (Q3368336)
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scientific article; zbMATH DE number 5002389
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| English | Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers |
scientific article; zbMATH DE number 5002389 |
Statements
Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers (English)
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27 January 2006
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Stochastic volatility
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importance sampling
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Maximum Likelihood
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Kalman filter
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0.859791100025177
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0.851827085018158
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0.8518269658088684
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0.8453641533851624
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