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

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  • Daníelsson Jón

    (Department of Economics University of Iceland)

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.

Suggested Citation

  • Daníelsson Jón, 1996. "Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 1(1), pages 1-8, April.
  • Handle: RePEc:bpj:sndecm:v:1:y:1996:i:1:n:al1
    DOI: 10.2202/1558-3708.1011
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    Cited by:

    1. 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.

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