Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling

DOI10.1016/j.csda.2011.05.007zbMath1254.91599MaRDI QIDQ1927096

Tore Selland Kleppe, Hans Julius Skaug

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2011.05.007

zbMATH Keywords

stochastic volatility; simulated maximum likelihood; Heston model; accelerated sequential importance sampling; Laplace importance sampler

Mathematics Subject Classification ID

62D05: Sampling theory, sample surveys

91B82: Statistical methods; economic indices and measures

Related Items

Efficient importance sampling in mixture frameworks, A flexible and automated likelihood based framework for inference in stochastic volatility models, The split-SV model

Uses Software

• L-BFGS
• TAPENADE

Cites Work

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