Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models

DOI10.1016/j.jeconom.2005.03.016zbMath1344.91016OpenAlexW2040115600MaRDI QIDQ274920

Garland B. Durham

Publication date: 25 April 2016

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

Full work available at URL: https://digitalcommons.calpoly.edu/fin_fac/16

zbMATH Keywords

stochastic volatilitystock returnsmodel diagnosticssimulation-based estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70)

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Uses Software

• BayesDA

Cites Work

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