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)

Full work available at URL https://doi.org/10.1002/ASMB.2095

zbMATH Keywords

autoregressive modelefficient importance samplingparticle filtersimulated maximum likelihoodstochastic volatility

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• Prediction in ARMA models with GARCH in mean effect
• 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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