A hybrid data cloning maximum likelihood estimator for stochastic volatility models

DOI10.1515/jtse-2012-0025zbMath1458.62251OpenAlexW1984739274MaRDI QIDQ1695565

Márcio Poletti Laurini

Publication date: 7 February 2018

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jtse-2012-0025

zbMATH Keywords

stochastic volatilitymaximum likelihoodMCMCdata cloningLaplace approximations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

Data cloning: maximum likelihood estimation of DSGE models

Cites Work

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