Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code

This is documentation for a C++ implementation of the simulated maximum likelihood (SML) estimation method, where the SML algorithm is applied to the stochastic volatility (SV) model. The algorithm and code can easily be adapted to a richer class of SV models, as well as to more general dynamic latent-variable models.

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Year of publication:	1996
Authors:	Daníelsson, Jón
Published in:	Studies in Nonlinear Dynamics & Econometrics. - De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 1.1996, 1
Publisher:	De Gruyter

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Type of publication:	Article
Type of publication (narrower categories):	research-article
Language:	English
Other identifiers:	10.2202/1558-3708.1011 [DOI]
Source:	Other ZBW resources

Persistent link: https://www.econbiz.de/10014620783