An empirical analysis of simulated maximum likelihood in the stochastic volatility model

zbMATH Open1238.91147MaRDI QIDQ2888198FDOQ2888198

Authors: Bovas Abraham, Ji Eun Choi 

Publication date: 30 May 2012

Published in: Journal of Applied Statistical Science (Search for Journal in Brave)

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zbMATH Keywords

particle filterstochastic volatility modelefficient importance samplingsimulated maximum likelihoodheavy-tailed innovationnormal innovation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cited In (13)

• Simulation-based estimation methods for financial time series models
• Simulated maximum likelihood estimation of continuous time stochastic volatility models
• Accuracy of maximum likelihood parameter estimators for Heston stochastic volatility SDE
• Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility
• A hybrid data cloning maximum likelihood estimator for stochastic volatility models
• Simulated Likelihood Approximations for Stochastic Volatility Models
• Estimation of stochastic volatility by using Ornstein-Uhlenbeck type models
• Simulated likelihood inference for stochastic volatility models using continuous particle filtering
• Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions
• A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models
• An efficient method for maximum likelihood estimation of a stochastic volatility model
• Estimation of stochastic volatility models via auxiliary particles filter
• Title not available (Why is that?)

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