Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH

DOI10.1515/SNDE-2012-0017zbMath1506.62413OpenAlexW1970855840MaRDI QIDQ5881701

Wei-Fang Niu

Publication date: 13 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2012-0017

zbMATH Keywords

importance samplingsimulated maximum likelihoodlatent variableskewed normal distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Economic time series analysis (91B84)

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