Search Results - subject:"Importance Sampler"

Inference in Bayesian proxy-SVARs

Arias, Jonas E.; Rubio-Ramírez, Juan Francisco; … - 2018

Persistent link: https://www.econbiz.de/10011971143

Inference in Bayesian Proxy-SVARs

Arias, Jonas E.; Rubio-Ramírez, Juan Francisco; … - In: Journal of econometrics 225 (2021) 1, pp. 88-106

Persistent link: https://www.econbiz.de/10013279023

Maximum likelihood estimation of partially observed diffusion models

Kleppe, Tore Selland; Yu, Jun; Skaug, Hans J. - In: Journal of econometrics 180 (2014) 1, pp. 73-80

Persistent link: https://www.econbiz.de/10010379484

Inference in Bayesian proxy-SVARs

Arias, Jonas E.; Rubio-Ramírez, Juan Francisco; … - 2018

Motivated by the increasing use of external instruments to identify structural vector autoregressions (SVARs), we develop algorithms for exact finite sample inference in this class of time series models, commonly known as proxy-SVARs. Our algorithms make independent draws from the...

Persistent link: https://www.econbiz.de/10011939964

Inference in Bayesian proxy-SVARs

Arias, Jonas E.; Rubio-Ramírez, Juan Francisco; … - 2018

Persistent link: https://www.econbiz.de/10011958212

Inference in Bayesian proxy-SVARs

Arias, Jonas E.; Rubio-Ramírez, Juan Francisco; … - 2018

Persistent link: https://www.econbiz.de/10012030282

Simulated Maximum Likelihood Estimation for Latent Diffusion Models

Kleppe, Tore Selland; Yu, Jun; skaug, Hans J. - School of Economics, Singapore Management University - 2011

economics. The proposed approach synthesizes the closed form method of Aït-Sahalia (2008) and the ecient importance sampler of … of the method and find no evidence of infinite variance in the importance sampler. …

Persistent link: https://www.econbiz.de/10009274322

Simulated Maximum Likelihood Estimation for Latent Diffusion Models

Kleppe, Tore Selland; Yu, Jun; Skaug, Hans J. - School of Economics, Singapore Management University - 2011

usefulness of the method and find no evidence of infinite variance in the importance sampler. … financial economics. The proposed approach synthesizes the closed form method of Aït-Sahalia (2008) and the efficient importance … sampler of Richard and Zhang (2007). It does not require any infill observations to be introduced and hence is computationally …

Persistent link: https://www.econbiz.de/10010704589

Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models

KLEPPE, Tore Selland; YU, Jun; SKAUG, Hans J. - School of Economics, Singapore Management University - 2009

In this paper we develop and implement a method for maximum simulated likelihood estimation of the continuous time stochastic volatility model with the constant elasticity of volatility. The approach do not require observations on option prices nor volatility. To integrate out latent volatility...

Persistent link: https://www.econbiz.de/10008521816

Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models

Kleppe, Tore Selland; Skaug, Hans J.; Yu, Jun - School of Economics, Singapore Management University - 2009

Persistent link: https://www.econbiz.de/10010561669