Simulated likelihood inference for stochastic volatility models using continuous particle filtering

DOI10.1007/s10463-014-0456-yzbMath1334.62182OpenAlexW2164882022MaRDI QIDQ457263

Sheheryar Malik, Michael K. Pitt, Arnaud Doucet

Publication date: 26 September 2014

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: http://wrap.warwick.ac.uk/63220/1/WRAP_Pitt_9971334-ec-080914-aism-d-13-00049final.pdf

zbMATH Keywords

jumpsstochastic volatilityleverage effectstate spaceparticle filtersimulated likelihood

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

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