A flexible and automated likelihood based framework for inference in stochastic volatility models
DOI10.1016/j.csda.2013.10.005zbMath1506.62168OpenAlexW2085650040MaRDI QIDQ1623560
Publication date: 23 November 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1615
empirical Bayesimportance samplingautomatic differentiationsimulated maximum likelihoodLaplace approximationAD model builder
Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10)
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