An efficient estimation procedure for conditionally linear and Gaussian state space models is developed. Efficient importance sampling together with a Rao-Blackwellization step are used to construct a highly efficient estimation method that produces continuous approximations to the likelihood...

A very general stochastic volatility (SV) model specification with leverage, heavy tails, skew and switching regimes is proposed, using realized volatility (RV) as an auxiliary time series to improve inference on latent volatility. The information content of the range and of implied volatility...