Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models

DOI10.1080/07474930600712848MaRDI QIDQ5485110zbMATH OpenOpenAlexFDO

Authors B. Jungbacker, Siem Jan Koopman

Publication date 28 August 2006

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474930600712848

zbMATH Keywords

importance samplingMonte Carlo likelihoodstochastic volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

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Cites work

• A simple and efficient simulation smoother for state space time series analysis
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• Likelihood analysis of non-Gaussian measurement time series
• Local scale models. State space alternative to integraded GARCH processes
• Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models
• Monte Carlo maximum likelihood estimation for non-Gaussian state space models
• Multivariate Stochastic Variance Models
• Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
• Multivariate Stochastic Volatility: A Review
• Statistical algorithms for models in state space using SsfPack 2.2
• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• The simulation smoother for time series models
• Time series analysis by state space methods

Cited in

(16)

• On the applicability of stochastic volatility models
• Sparse Bayesian time-varying covariance estimation in many dimensions
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Matrix exponential stochastic volatility with cross leverage
• McMC estimation of multiscale stochastic volatility models with applications
• Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers
• Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility
• A new approach to importance sampling in Taylor's stochastic volatility model
• Implicit estimation for the stochastic volatility model
• Multivariate Stochastic Volatility: A Review
• Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
• Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
• Foreign Exchange Intervention by the Bank of Japan: Bayesian Analysis Using a Bivariate Stochastic Volatility Model
• Maximum likelihood estimation for dynamic factor models with missing data
• An efficient method for maximum likelihood estimation of a stochastic volatility model
• Fitting dynamic factor models to non-stationary time series

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Uses Software

• Ox

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