Koopman, Siem Jan; Uspensky, Eugenie Hol - Tinbergen Institute - 2000
In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean … (SVM) model based on Monte Carlo simulation methods. The SVM model incorporates the unobserved volatility as an explanatory … Stochastic Volatility (SV) model. However, efficient Monte Carlo simulation methods for SV models have been developed to overcome …