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  • Search: subject:"Ecient importance sampling"
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Year of publication
Subject
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Ecient importance sampling 1 GARCH diusion model 1 Simulated Maximum likelihood 1 Stochastic volatility 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Kleppe, Tore Selland 1 Skaug, Hans J. 1 Yu, Jun 1
Institution
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School of Economics, Singapore Management University 1
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Working Papers / School of Economics, Singapore Management University 1
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RePEc 1
Showing 1 - 1 of 1
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Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time
Kleppe, Tore Selland; Yu, Jun; Skaug, Hans J. - School of Economics, Singapore Management University - 2010
A new algorithm is developed to provide a simulated maximum likelihood estimation of the GARCH diffusion model of Nelson (1990) based on return data only. The method combines two accurate approximation procedures, namely, the polynomial expansion of Aït-Sahalia (2008) to approximate the...
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