Search Results - subject:"Efficient Importance Sampling"

Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model

Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

and trading intensities. The model is estimated by simulated maximum likelihood using efficient importance sampling … maximum likelihood using efficient importance sampling. Analyzing five minutes data from four liquid stocks traded at the New … error models, common factor, efficient importance sampling, intraday trading process JEL Classification: C15, C32, C52 1 …

Persistent link: https://www.econbiz.de/10005677990

An efficient filtering approach to likelihood approximation for state-space representations

DeJong, David Neil; Dharmarajan, Hariharan; Liesenfeld, … - 2007

piecewise-continuous approximations of target densities. Construction is achieved via efficient importance sampling, and …

Persistent link: https://www.econbiz.de/10003545836

Time Series of Count Data: Modelling and Estimation

Jung, Robert; Kukuk, Martin; Liesenfeld, Roman - 2005

This paper compares various models for time series of counts which can account for discreetness, overdispersion and serial correlation. Besides observation- and parameter-driven models based upon corresponding conditional Poisson distributions, we also consider a dynamic ordered probit model as...

Persistent link: https://www.econbiz.de/10010296244

Time Series of Count Data : Modelling and Estimation

Jung, Robert; Kukuk, Martin; Liesenfeld, Roman - Institut für Volkswirtschaftslehre, … - 2005

Persistent link: https://www.econbiz.de/10005082836

Warrant pricing under GARCH diffusion model

Wu, Xin-Yu; Ma, Chao-Qun; Wang, Shou-Yang - In: Economic Modelling 29 (2012) 6, pp. 2237-2244

maximum likelihood (ML) estimation of the GARCH diffusion model based on the efficient importance sampling (EIS) procedure …

Persistent link: https://www.econbiz.de/10010588253

Warrant pricing under GARCH diffusion model

Wu, Xin-yu; Ma, Chao-qun; Wang, Shouyang - In: Economic modelling 29 (2012) 6, pp. 2237-2244

Persistent link: https://www.econbiz.de/10009673781

Dynamic latent factor models for intensity processes

BAUWENS, Luc; HAUTSCH, Nikolaus - Center for Operations Research and Econometrics (CORE), … - 2003

likelihood based upon efficient importance sampling techniques. Applications of univariate and bivariate LFI models to …

Persistent link: https://www.econbiz.de/10005008331

Asymmetry and Long Memory in Volatility Modelling

Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - Department of Economics and Finance, College of … - 2010

, and use the Efficient Importance Sampling technique to estimate the model. As an empirical example, we apply the new model …

Persistent link: https://www.econbiz.de/10008672253

Panel Intensity Models with Latent Factors: An Application to the Trading Dynamics on the Foreign Exchange Market¤

Nolte, Ingmar; Voev, Valeri - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2007

technique adopting the efficient importance sampling approach of Richard & Zhang (2005). We provide an application to a trading …

Persistent link: https://www.econbiz.de/10005146728

The latent factor VAR model: Testing for a common component in the intraday trading process

Hautsch, Nikolaus - Økonomisk Institut, Københavns Universitet - 2005

using efficient importance sampling techniques. Analyzing intraday data from the NYSE, we find strong empirical evidence for …

Persistent link: https://www.econbiz.de/10005750002