An empirical analysis of simulated maximum likelihood in the stochastic volatility model (Q2888198)
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scientific article; zbMATH DE number 6039686
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An empirical analysis of simulated maximum likelihood in the stochastic volatility model |
scientific article; zbMATH DE number 6039686 |
Statements
30 May 2012
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stochastic volatility model
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normal innovation
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heavy-tailed innovation
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simulated maximum likelihood
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efficient importance sampling
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particle filter
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An empirical analysis of simulated maximum likelihood in the stochastic volatility model (English)
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