Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm
From MaRDI portal
Publication:3552853
Recommendations
- Estimation of stochastic volatility models via auxiliary particles filter
- Multivariate stochastic volatility estimation using particle filters
- Simulated likelihood inference for stochastic volatility models using continuous particle filtering
- Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling
- Estimation of stochastic volatility models by nonparametric filtering
- Nonparametric estimation of stochastic volatility models
- Parameter estimation in stochastic volatility models
- Nonparametric estimation for stochastic volatility models
- Nonparametric estimation for stochastic volatility models
- A Note on Efficient Fitting of Stochastic Volatility Models
Cites work
- scientific article; zbMATH DE number 3731128 (Why is no real title available?)
- scientific article; zbMATH DE number 3768770 (Why is no real title available?)
- scientific article; zbMATH DE number 1059776 (Why is no real title available?)
- scientific article; zbMATH DE number 5040166 (Why is no real title available?)
- A constrained formulation of maximum-likelihood estimation for normal mixture distributions
- Consistent Estimates of the Parameters of a Linear System
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood
- Kurtosis of GARCH and stochastic volatility models with non-normal innovations
- Markov chain Monte Carlo methods for stochastic volatility models.
- Monte Carlo EM Estimation for Time Series Models Involving Counts
- Monte Carlo Smoothing for Nonlinear Time Series
- Multivariate Stochastic Variance Models
- Parameter estimation in general state-space models using particle methods
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
- Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
- Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.
Cited in
(12)- Analysis of single particle diffusion with transient binding using particle filtering
- The copula directional dependence by stochastic volatility models
- Parameter-driven state-space model for integer-valued time series with application
- EM-based algorithms for autoregressive models with \(t\)-distributed innovations
- On periodic autoregressive stochastic volatility models: structure and estimation
- On the asymmetry in the volatility of financial time series: a buffered transition approach
- Parameter estimation with scarce measurements
- A novel first-order autoregressive moving average model to analyze discrete-time series irregularly observed
- Robust estimation using multivariate \(t\) innovations for vector autoregressive models via ECM algorithm
- State-space models for count time series with excess zeros
- System identification of nonlinear state-space models
- Efficient inference for nonlinear state space models: an automatic sample size selection rule
This page was built for publication: Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3552853)
