Simulated likelihood inference for stochastic volatility models using continuous particle filtering
Year of publication: |
2014
|
---|---|
Authors: | Pitt, Michael ; Malik, Sheheryar ; Doucet, Arnaud |
Published in: |
Annals of the Institute of Statistical Mathematics. - Springer. - Vol. 66.2014, 3, p. 527-552
|
Publisher: |
Springer |
Subject: | Stochastic volatility | Particle filter | Simulated likelihood | State space | Leverage effect | Jumps |
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