Fernández-Villaverde, Jesús; Guerrón-Quintana, Pablo; … - In: Journal of Econometrics 185 (2015) 1, pp. 216-229
This paper develops a particle filtering algorithm to estimate dynamic equilibrium models with stochastic volatility using a likelihood-based approach. The algorithm, which exploits the structure and profusion of shocks in stochastic volatility models, is versatile and computationally tractable...