Efficient high-dimensional importance sampling in mixture frameworks
Year of publication: |
2011
|
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Authors: | Kleppe, Tore Selland ; Liesenfeld, Roman |
Publisher: |
Kiel : Kiel University, Department of Economics |
Subject: | dynamic latent variable model | importance sampling | marginalized likelihood | mixture | Monte Carlo | realized volatility | stochastic volatility |
Series: | Economics Working Paper ; 2011-11 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 679408649 [GVK] hdl:10419/53125 [Handle] RePEc:zbw:cauewp:201111 [RePEc] |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods |
Source: |
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