Simulated Maximum Likelihood Estimation for Latent Diffusion Models
Year of publication: |
2011-07
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Authors: | Kleppe, Tore Selland ; Yu, Jun ; Skaug, Hans J. |
Institutions: | School of Economics, Singapore Management University |
Subject: | Closed-form approximation | Diffusion Model | Efficient importance sampler |
Series: | |
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Type of publication: | Book / Working Paper |
Notes: | Published in SMU-SKBI CoFie Working Paper Number CoFie-04-2011 29 pages longPages |
Classification: | C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; G12 - Asset Pricing |
Source: |
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