In this paper we develop and implement a method for maximum simulated likelihood estimation of the continuous time stochastic volatility model with the constant elasticity of volatility. The approach do not require observations on option prices nor volatility. To integrate out latent volatility...

This paper is concerned with specification for modelling financial leverage effect in the context of stochastic volatility (SV) models. Two alternative specifications co-exist in the literature. One is the Euler approximation to the well known continuous time SV model with leverage effect and...

This paper is concerned with specification for modelling financial leverage effect in the context of stochastic volatility (SV) models. Two alternative specifications coexist in the literature. One is the Euler approximation to the well known continuous time SV model with leverage effect and the...

This paper is concerned with specification for modelling financial leverage effect in the context of stochastic volatility (SV) models. Two alternative specifications co-exist in the literature. One is the Euler approximation to the well known continuous time SV model with leverage effect and...

In this paper a method is developed and implemented to provide the simulated maximum likelihood estimation of latent diffusions based on discrete data. The method is applicable to diffusions that either have latent elements in the state vector or are only observed at discrete time with a noise....

In this paper we develop and implement a method for maximum simulated likelihood estimation of the continuous time stochastic volatility model with the constant elasticity of volatility. The approach do not require observations on option prices nor volatility. To integrate out latent volatility...