Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models
Year of publication: |
2009-06
|
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Authors: | KLEPPE, Tore Selland ; YU, Jun ; SKAUG, Hans J. |
Institutions: | School of Economics, Singapore Management University |
Subject: | Efficient importance sampler | Constant elasticity of volatility |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Published in SMU Economics and Statistics Working Paper Series Number 20-2009 20 pages |
Classification: | C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; G12 - Asset Pricing |
Source: |
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