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Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers - MaRDI portal

Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers (Q3368336)

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Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers
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    title
    Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers (English)
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    author
    Kai Ming Lee
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    Siem Jan Koopman
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    publication date
    27 January 2006
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    zbMATH DE Number
    5002389
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    zbMATH Keywords
    Stochastic volatility
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    importance sampling
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    Maximum Likelihood
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    Kalman filter
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    OpenAlex ID
    W2081441334
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