Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models

DOI10.1080/07474930600712848zbMath1113.62129OpenAlexW1972457796MaRDI QIDQ5485110

B. Jungbacker, Siem Jan Koopman

Publication date: 28 August 2006

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930600712848

zbMATH Keywords

importance samplingstochastic volatilityMonte Carlo likelihood

Mathematics Subject Classification ID

Related Items (8)

Matrix exponential stochastic volatility with cross leverage ⋮ Maximum likelihood estimation for dynamic factor models with missing data ⋮ Sparse Bayesian time-varying covariance estimation in many dimensions ⋮ Fitting dynamic factor models to non-stationary time series ⋮ On the applicability of stochastic volatility models ⋮ Multivariate Stochastic Volatility: A Review ⋮ Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison ⋮ Foreign Exchange Intervention by the Bank of Japan: Bayesian Analysis Using a Bivariate Stochastic Volatility Model

Uses Software

• Ox

Cites Work

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