Modelling Stochastic Volatility with Leverage and Jumps: A Simulated Maximum Likelihood Approach via Particle Filtering
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- Nonejad Nima, 2015. "Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(5), pages 561-584, December.
- Nonejad, Nima, 2017. "Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market," Economic Modelling, Elsevier, vol. 61(C), pages 388-408.
- Michele Bianchi & Frank Fabozzi, 2015. "Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads," Computational Economics, Springer;Society for Computational Economics, vol. 46(2), pages 243-273, August.
- Calvet, Laurent E. & Fearnley, Marcus & Fisher, Adlai J. & Leippold, Markus, 2015.
"What is beneath the surface? Option pricing with multifrequency latent states,"
Journal of Econometrics,
Elsevier, vol. 187(2), pages 498-511.
- Calvet , Laurent E. & Fearnley, Marcus & Adlai J. , Fisher & Markus, Leippold, 2013. "What's Beneath the Surface? Option Pricing with Multifrequency Latent States," Les Cahiers de Recherche 969, HEC Paris.
- repec:kap:compec:v:51:y:2018:i:3:d:10.1007_s10614-016-9599-7 is not listed on IDEAS
More about this item
KeywordsStochastic volatility ; Particle filter ; Simulation ; State space ; Leverage effect ; Jumps.;
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- 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
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-03-05 (All new papers)
- NEP-ETS-2011-03-05 (Econometric Time Series)
- NEP-ORE-2011-03-05 (Operations Research)
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