Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models

DOI10.1080/07474938.2015.1031014zbMath1491.62117OpenAlexW2126513215MaRDI QIDQ5864370

Geert Mesters, Siem Jan Koopman, Marius Ooms

Publication date: 7 June 2022

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

Full work available at URL: http://papers.tinbergen.nl/11090.pdf

zbMATH Keywords

importance samplingstochastic volatilityKalman filterfractional integrationforecastinglatent factors

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) 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)

Related Items (1)

Approximate state space modelling of unobserved fractional components

Uses Software

• longmemo

Cites Work

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