Simulated maximum likelihood for general stochastic volatility models: a change of variable approach
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More about this item
KeywordsChange of Variable; Heston Model; Laplace Importance Sampler; Simulated Maximum Likelihood; Stochastic Volatility;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-12-14 (All new papers)
- NEP-ECM-2008-12-14 (Econometrics)
- NEP-ETS-2008-12-14 (Econometric Time Series)
- NEP-ORE-2008-12-14 (Operations Research)
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