An empirical analysis of simulated maximum likelihood in the stochastic volatility model
type: Item
instance of: scholarly article
zbMATH Open document ID: 1238.91147
author: Bovas Abraham
author: Ji Eun Choi
publication date: 2012-05-30T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 6039686
zbMATH Keywords: stochastic volatility model
zbMATH Keywords: normal innovation
zbMATH Keywords: heavy-tailed innovation
zbMATH Keywords: simulated maximum likelihood
zbMATH Keywords: efficient importance sampling
zbMATH Keywords: particle filter
MaRDI profile type: MaRDI publication profile
title: An empirical analysis of simulated maximum likelihood in the stochastic volatility model
published in: Journal of Applied Statistical Science
description: scientific article; zbMATH DE number 6039686