Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling
type: Item
instance of: scholarly article
title: Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling
zbMATH Open document ID: 1254.91599
author: Tore Selland Kleppe
author: Hans J. Skaug
published in: Computational Statistics and Data Analysis
publication date: 2012-12-30T00:00:00Z
Mathematics Subject Classification ID: 91B82
Mathematics Subject Classification ID: 62D05
zbMATH DE Number: 6119742
zbMATH Keywords: accelerated sequential importance sampling
zbMATH Keywords: Heston model
zbMATH Keywords: Laplace importance sampler
zbMATH Keywords: simulated maximum likelihood
zbMATH Keywords: stochastic volatility
describes a project that uses: L-BFGS
describes a project that uses: TAPENADE
MaRDI profile type: Publication
full work available at URL: j.csda.2011.05.007
OpenAlex ID: W2056757348
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DOI: 10.1016/J.CSDA.2011.05.007
description: scientific article; zbMATH DE number 6119742