MCMC maximum likelihood for latent state models

DOI10.1016/j.jeconom.2005.11.017zbMath1360.62086OpenAlexW2078014809MaRDI QIDQ276938

Eric Jacquier, Nicholas G. Polson, Michael S. Johannes

Publication date: 4 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.11.017

zbMATH Keywords

optimizationdiffusionjumpsstochastic volatilitysimulated annealingmaximum likelihoodMCMCfinancial econometricsevolutionary Monte Carlo

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10)

Related Items (16)

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