Simulated likelihood inference for stochastic volatility models using continuous particle filtering
DOI10.1007/S10463-014-0456-YzbMATH Open1334.62182OpenAlexW2164882022MaRDI QIDQ457263FDOQ457263
Sheheryar Malik, Michael K. Pitt, Arnaud Doucet
Publication date: 26 September 2014
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: http://wrap.warwick.ac.uk/63220/1/WRAP_Pitt_9971334-ec-080914-aism-d-13-00049final.pdf
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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Cited In (13)
- Estimating \(\operatorname{GARCH}(1, 1)\) in the presence of missing data
- Asymptotic analysis of model selection criteria for general hidden Markov models
- A novel particle filter for extended target tracking with random hypersurface model
- Estimation of agent-based models using sequential Monte Carlo methods
- Reversed particle filtering for hidden Markov models
- Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm
- A generalised stochastic volatility in mean VAR
- Modelling the joint behaviour of electricity prices in interconnected markets
- A fast and efficient Markov chain Monte Carlo method for market microstructure model
- Simulated Likelihood Approximations for Stochastic Volatility Models
- Option pricing under stochastic volatility models with latent volatility
- Stochastic Filtering Methods in Electronic Trading
- Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters
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