Simulated maximum likelihood for general stochastic volatility models: a change of variable approach
Year of publication: |
2008-07-10
|
---|---|
Authors: | Kleppe, Tore Selland ; Skaug, Hans J. |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Change of Variable | Heston Model | Laplace Importance Sampler | Simulated Maximum Likelihood | Stochastic Volatility |
-
Kleppe, Tore Selland, (2012)
-
Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu, (2017)
-
Realized Stochastic Volatility with General Asymmetry and Long Memory
Asai, Manabu, (2017)
- More ...
-
Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time
Kleppe, Tore Selland, (2010)
-
Simulated Maximum Likelihood Estimation for Latent Diffusion Models
Kleppe, Tore Selland, (2011)
-
Simulated Maximum Likelihood Estimation for Latent Diffusion Models
Kleppe, Tore Selland, (2011)
- More ...