Efficient importance sampling for ML estimation of SCD models

DOI10.1016/j.csda.2008.02.014zbMath1453.62040MaRDI QIDQ961389

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

62P20: Applications of statistics to economics

62-08: Computational methods for problems pertaining to statistics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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Cites Work

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• Time series of count data: Modeling, estimation and diagnostics
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• Econometric modelling of stock market intraday activity.
• Monte Carlo maximum likelihood estimation for non-Gaussian state space models
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data