Efficient importance sampling for ML estimation of SCD models
DOI10.1016/J.CSDA.2008.02.014zbMATH Open1453.62040OpenAlexW2122081358MaRDI QIDQ961389FDOQ961389
Authors: B. E. Eshmatov 
Publication date: 30 March 2010
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: http://sites.uclouvain.be/econ/DP/IRES/2007-32.pdf
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Cites Work
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Econometric modelling of stock market intraday activity.
- Time series of count data: Modeling, estimation and diagnostics
- The stochastic conditional duration model: a latent variable model for the analysis of financial durations
- Monte Carlo maximum likelihood estimation for non-Gaussian state space models
- Efficient high-dimensional importance sampling
- Title not available (Why is that?)
- Bayesian analysis of the stochastic conditional duration model
Cited In (10)
- Simulation-based estimation methods for financial time series models
- Bayesian inference of asymmetric stochastic conditional duration models
- Inverse Gaussian distribution for modeling conditional durations in finance
- Estimating stochastic volatility models using realized measures
- Improving MCMC, using efficient importance sampling
- Efficient importance sampling maximum likelihood estimation of stochastic differential equations
- Particle efficient importance sampling
- Modeling dynamic effects of promotion on interpurchase times
- Efficient importance sampling in mixture frameworks
- A flexible and automated likelihood based framework for inference in stochastic volatility models
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