Simulated maximum likelihood in autoregressive models with stochastic volatility errors

DOI10.1002/ASMB.2095MaRDI QIDQ6574701zbMATH OpenFDO

Authors Ji Eun Choi, Bei Chen, Bovas Abraham

Publication date 18 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

particle filterautoregressive modelstochastic volatilityefficient importance samplingsimulated maximum likelihood

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 1820665 (Why is no real title available?)
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
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• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• The second moment and the autocovariance function of the squared errors of the GARCH model

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