A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models
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- Laurini Márcio Poletti, 2013. "A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models," Journal of Time Series Econometrics, De Gruyter, vol. 5(2), pages 193-229, May.
References listed on IDEAS
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More about this item
KeywordsStochastic Volatility: Data Cloning; Maximum Likelihood; MCMC; Laplace Approximations.;
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-03-28 (All new papers)
- NEP-ECM-2012-03-28 (Econometrics)
- NEP-ETS-2012-03-28 (Econometric Time Series)
- NEP-ORE-2012-03-28 (Operations Research)
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