Lee, Kai; Koopman, Siem Jan - In: Studies in Nonlinear Dynamics & Econometrics 8 (2007) 2, pp. 1210-1210
In this paper, we describe and compare two simulated Maximum Likelihood estimation methods for a basic stochastic volatility model. For both methods, the likelihood function is estimated using importance sampling techniques. Based on a Monte Carlo study, we assess which method is more effective....