Exact Likelihood for Inverse Gamma Stochastic Volatility Models
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More about this item
Keywords
Hypergeometric Function; Particle Filter; Parallel Computing; Euler Acceleration;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2023-07-24 (Econometrics)
- NEP-ETS-2023-07-24 (Econometric Time Series)
- NEP-RMG-2023-07-24 (Risk Management)
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