Efficient high-dimensional importance sampling in mixture frameworks
Year of publication: |
2011
|
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Authors: | Kleppe, Tore Selland ; Liesenfeld, Roman |
Institutions: | Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel |
Subject: | dynamic latent variable model | importance sampling | marginalized likelihood | mixture | Monte Carlo | realized volatility | stochastic volatility |
Extent: | application/pdf |
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Series: | Economics Working Papers. - ISSN 2193-2476. |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 2011,11 |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods |
Source: |
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Efficient high-dimensional importance sampling in mixture frameworks
Kleppe, Tore Selland, (2011)
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Efficient importance sampling in mixture frameworks
Kleppe, Tore Selland, (2014)
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Robert, Christian P., (2011)
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Intra-daily volatility spillovers between the US and German stock markets
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The conditional autoregressive wishart model for multivariate stock market volatility
Golosnoy, Vasyl, (2010)
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