Estimating stochastic volatility models : a comparison of two importance samplers
Kai Ming Lee; Siem Jan Koopman
Year of publication: |
2004
|
---|---|
Authors: | Lee, Kai Ming ; Koopman, Siem Jan |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 13852619. - Vol. 8.2004, 2
|
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series
Koopman, Siem Jan, (2005)
-
Seasonality with Trend and Cycle Interactions in Unobserved Components Models
Koopman, Siem Jan, (2008)
-
Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers
Lee, Kai Ming, (2004)
- More ...