Efficient importance sampling for ML estimation of SCD models

DOI10.1016/J.CSDA.2008.02.014MaRDI QIDQ961389zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 2104352 (Why is no real title available?)
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Bayesian analysis of the stochastic conditional duration model
• Econometric modelling of stock market intraday activity.
• Efficient high-dimensional importance sampling
• Monte Carlo maximum likelihood estimation for non-Gaussian state space models
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• Time series of count data: Modeling, estimation and diagnostics

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
• Improving MCMC, using efficient importance sampling
• Estimating stochastic volatility models using realized measures
• 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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