scientific article; zbMATH DE number 5002274

MaRDI QIDQ3368189zbMATH OpenFDO

Authors J. Danielsson

Publication date 27 January 2006

Full work available at URL http://www.bepress.com/snde/vol1/iss1/algorithm1

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

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• Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions

Cited in

(1)

• EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments

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