Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers
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Publication:3368336
DOI10.2202/1558-3708.1210zbMath1081.91534MaRDI QIDQ3368336
Siem Jan Koopman, Kai Ming Lee
Publication date: 27 January 2006
Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2202/1558-3708.1210
93E11: Filtering in stochastic control theory
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