; Importance sampling ; Marginalized likelihood ; Mixture ; Monte Carlo ; Realized Volatility ; Stochastic volatility …This paper provides high-dimensional and flexible importance sampling procedures for the likelihood evaluation of …-modal target densities. Our approach is based upon the efficient importance sampling (EIS) approach of Richard and Zhang (2007) and …

conditional variance is modelled by a stochastic volatility process. We develop a Monte Carlo maximum likelihood method to obtain … variance, in the order of integration, in the short memory characteristics and in the volatility of volatility. …