Simulated Likelihood Approximations for Stochastic Volatility Models
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Cites work
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 3736679 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
- Estimating continuous-time stochastic volatility models of the short-term interest rate
- Mixing: Properties and examples
- Prediction-based estimating functions
- Stock price distributions with stochastic volatility: an analytic approach
- The pricing of options and corporate liabilities
Cited in
(14)- Parameter estimation in a stochastic model of the tubuloglomerular feedback mechanism in a rat nephron
- Independence, successive and conditional likelihood for time series of counts
- Application in stochastic volatility models of nonlinear regression with stochastic design
- Prediction-based estimating functions: review and new developments
- Parametric inference for diffusion processes observed at discrete points in time: a survey
- Simulated maximum likelihood estimation of continuous time stochastic volatility models
- Statistical inference for discrete-time samples from affine stochastic delay differential equations
- An analytic approximation of the likelihood function for the Heston model volatility estimation problem
- Simulated likelihood inference for stochastic volatility models using continuous particle filtering
- A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models
- Stochastic volatility: approximation and goodness-of-fit test
- Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview
- Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models
- scientific article; zbMATH DE number 5002274 (Why is no real title available?)
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