Simulated maximum likelihood in autoregressive models with stochastic volatility errors
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Publication:6574701
DOI10.1002/ASMB.2095MaRDI QIDQ6574701FDOQ6574701
Bei Chen, Ji Eun Choi, Bovas Abraham
Publication date: 18 July 2024
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
particle filterautoregressive modelstochastic volatilityefficient importance samplingsimulated maximum likelihood
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