Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH

DOI10.1515/SNDE-2012-0017MaRDI QIDQ5881701zbMATH OpenOpenAlexFDO

Authors Wei-Fang Niu

Publication date 13 March 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2012-0017

zbMATH Keywords

importance samplinglatent variablesimulated maximum likelihoodskewed normal distribution

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Recommendations

• Simulated maximum likelihood estimation of continuous time stochastic volatility models
• Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
• scientific article; zbMATH DE number 6039561
• Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
• Maximum likelihood estimation of partially observed diffusion models

Cited in

(5)

• Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods
• Simulated maximum likelihood estimation of continuous time stochastic volatility models
• Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
• A NEW METHOD TO ESTIMATE STOCHASTIC VOLATILITY MODELS: A LOG-GARCH APPROACH
• Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview

This page was built for publication: Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5881701)