Simulated Likelihood Approximations for Stochastic Volatility Models

DOI10.1111/1467-9469.00330zbMath1053.62090MaRDI QIDQ4828198

Helle Sørensen

Publication date: 24 November 2004

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00330

zbMATH Keywords

discrete-time observations; approximate likelihood; stochastic volatility models; Cox-Ingersoll-Ross process

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62M05: Markov processes: estimation; hidden Markov models

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

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