Maximum likelihood estimation of a latent variable time-series model

DOI10.1002/ASMB.426zbMath0965.62071OpenAlexW2012985600MaRDI QIDQ2722282

Francesco Bartolucci, Giovanni De Luca

Publication date: 11 July 2001

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.426

zbMATH Keywords

stochastic volatilityquadratureNewton-Raphson

Mathematics Subject Classification ID

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) Applications of statistics in engineering and industry; control charts (62P30) Economic time series analysis (91B84)

Related Items (7)

Bettors' reaction to match dynamics: evidence from in-game betting ⋮ Estimation and asymptotic covariance matrix for stochastic volatility models ⋮ A dynamic analysis of stock markets using a hidden Markov model ⋮ Estimation and application of semiparametric stochastic volatility models based on kernel density estimation and hidden Markov models ⋮ Likelihood-based inference for asymmetric stochastic volatility models ⋮ Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters ⋮ Semiparametric stochastic volatility modelling using penalized splines

Cites Work

• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Multivariate Stochastic Variance Models

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