Simulated likelihood inference for stochastic volatility models using continuous particle filtering
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Publication:457263
Computational methods in Markov chains (60J22) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)
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- scientific article; zbMATH DE number 5243765 (Why is no real title available?)
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Cited in
(15)- Simulated Likelihood Approximations for Stochastic Volatility Models
- A generalised stochastic volatility in mean VAR
- Asymptotic analysis of model selection criteria for general hidden Markov models
- A fast and efficient Markov chain Monte Carlo method for market microstructure model
- Estimation of agent-based models using sequential Monte Carlo methods
- A new filtering inference procedure for a GED state-space volatility model
- Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm
- Reversed particle filtering for hidden Markov models
- Modelling the joint behaviour of electricity prices in interconnected markets
- Estimating \(\operatorname{GARCH}(1, 1)\) in the presence of missing data
- Stochastic filtering methods in electronic trading
- An empirical analysis of simulated maximum likelihood in the stochastic volatility model
- A novel particle filter for extended target tracking with random hypersurface model
- Option pricing under stochastic volatility models with latent volatility
- Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters
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