Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling
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Publication:1927096
DOI10.1016/j.csda.2011.05.007zbMath1254.91599OpenAlexW2056757348MaRDI 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
stochastic volatilitysimulated maximum likelihoodHeston modelaccelerated sequential importance samplingLaplace importance sampler
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