Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code

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Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code

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Jón Daníelsson (University of Iceland)

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Jon Danielsson

Abstract

This is documentation for a C++ implementation of the simulated maximum likelihood (SML) estimation method, where the SML algorithm is applied to the stochastic volatility (SV) model. The algorithm and code can easily be adapted to a richer class of SV models, as well as to more general dynamic latent-variable models.

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Article provided by Berkeley Electronic Press in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 1 (1996)
Issue (Month): 1 ()
Pages: 29-34
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Handle: RePEc:bep:sndecm:1:1996:1:29-34

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Danielsson, Jon, 1994. "Stochastic volatility in asset prices estimation with simulated maximum likelihood," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 375-400. [Downloadable!] (restricted)

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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

George J. Jiang & Pieter J. van der Sluis, 1998. "Pricing Stock Options under Stochastic Volatility and Stochastic Interest Rates with Efficient Method of Moments Estimation," Tinbergen Institute Discussion Papers 98-067/4, Tinbergen Institute. [Downloadable!]
Pieter J. van der Sluis, 1998. "EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments," Tinbergen Institute Discussion Papers 98-021/4, Tinbergen Institute. [Downloadable!]
Other versions:
- Pieter van der Sluis, 1997. "EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 2(3), pages 77-94. [Downloadable!] (restricted)

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