Automated Likelihood Based Inference for Stochastic Volatility Models
Year of publication: |
2007-11
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Authors: | Yu, Jun |
Institutions: | School of Economics, Singapore Management University |
Subject: | Laplace approximation | Automatic differentiation | Simulated maximum likelihood | Importance sampling | Bayesian MCMC |
Series: | |
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Type of publication: | Book / Working Paper |
Notes: | Published in SMU-SKBI CoFie Working Paper Number 01-2007 32 pages longPages |
Classification: | C13 - Estimation ; E22 - Capital; Investment (including Inventories); Capacity ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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