A New Approach to Importance Sampling in Taylor’s Stochastic Volatility Model

DOI10.1080/03610918.2012.709899zbMath1291.62035OpenAlexW2085466108MaRDI QIDQ5415872

Tingting Huang, Xinfu Chen, Bruce Sun

Publication date: 19 May 2014

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2012.709899

zbMATH Keywords

Monte Carloimportance samplingstochastic volatility

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05)

Cites Work

• Efficient high-dimensional importance sampling
• ARCH models as diffusion approximations
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
• Likelihood analysis of non-Gaussian measurement time series
• Monte Carlo maximum likelihood estimation for non-Gaussian state space models
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models

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