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Estimation of stochastic volatility models via Monte Carlo maximum likelihood

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  • Sandmann, Gleb
  • Koopman, Siem Jan

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 87 (1998)
Issue (Month): 2 (September)
Pages: 271-301

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Handle: RePEc:eee:econom:v:87:y:1998:i:2:p:271-301

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Web page: http://www.elsevier.com/locate/jeconom

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  1. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-47, August.
  2. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, Elsevier, vol. 52(1-2), pages 5-59.
  3. Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1995. "Estimation of Stochastic Volatility Models with Diagnostics," Working Papers, Duke University, Department of Economics 95-36, Duke University, Department of Economics.
  4. Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
  5. Melino, Angelo & Turnbull, Stuart M., 1990. "Pricing foreign currency options with stochastic volatility," Journal of Econometrics, Elsevier, Elsevier, vol. 45(1-2), pages 239-265.
  6. Danielsson, Jon, 1994. "Stochastic volatility in asset prices estimation with simulated maximum likelihood," Journal of Econometrics, Elsevier, Elsevier, vol. 64(1-2), pages 375-400.
  7. Harvey, Andrew & Ruiz, Esther & Shephard, Neil, 1994. "Multivariate Stochastic Variance Models," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 61(2), pages 247-64, April.
  8. Durbin, J. & Koopman, S.J.M., 1998. "Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives," Discussion Paper, Tilburg University, Center for Economic Research 1998-142, Tilburg University, Center for Economic Research.
  9. Andrew C Harvey & N.G. Shephard, 1993. "Estimation and Testing of Stochastic Variance Models," STICERD - Econometrics Paper Series /1993/268, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  10. Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 1994. "Bayesian Analysis of Stochastic Volatility Models: Comments: Reply," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 12(4), pages 413-17, October.
  11. Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 1994. "Bayesian Analysis of Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 12(4), pages 371-89, October.
  12. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1992. "Stock Prices and Volume," Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 199-242.
  13. Gallant, A. Ronald & Tauchen, George, 1996. "Which Moments to Match?," Econometric Theory, Cambridge University Press, vol. 12(04), pages 657-681, October.
  14. Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9613, Universite de Montreal, Departement de sciences economiques.
  15. Torben G. Andersen & Bent E. Sorensen, 1995. "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Discussion Papers 95-19, University of Copenhagen. Department of Economics.
  16. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, Econometric Society, vol. 59(2), pages 347-70, March.
  17. Harvey, Andrew C & Shephard, Neil, 1996. "Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 14(4), pages 429-34, October.
  18. Eric Renault & Nizar Touzi, 1996. "Option Hedging And Implied Volatilities In A Stochastic Volatility Model," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 6(3), pages 279-302.
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