We consider likelihood inference and state estimation by means of importance sampling for state space models with a … are presented that lead to a more effective implementation of importance sampling for state space models. An illustration … is given for the stochastic volatility model with leverage. …

Empirical volatility studies have discovered nonstationary, long-memory dynamics in the volatility of the stock market … found with nonparametric estimates of the fractional differencing parameter d, for financial volatility. In this paper, a …, stochastic volatility (SV-FIAR) model. Joint estimates of the autoregressive and fractional differencing parameters of volatility …