A flexible and automated likelihood based framework for inference in stochastic volatility models (Q1623560)
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scientific article; zbMATH DE number 6984000
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A flexible and automated likelihood based framework for inference in stochastic volatility models |
scientific article; zbMATH DE number 6984000 |
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A flexible and automated likelihood based framework for inference in stochastic volatility models (English)
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23 November 2018
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empirical Bayes
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Laplace approximation
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automatic differentiation
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AD model builder
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simulated maximum likelihood
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importance sampling
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