Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers
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| 024 | 7 | 0 | |a 10.2202/1558-3708.1210 |2 doi |
| 035 | |a (NATIONALLICENCE)gruyter-10.2202/1558-3708.1210 | ||
| 245 | 0 | 0 | |a Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers |h [Elektronische Daten] |c [Kai Ming Lee, Siem Jan Koopman] |
| 520 | 3 | |a 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. Further, we validate the two methods using diagnostic importance sampling test procedures. Stochastic volatility models with Gaussian and Student-t distributed disturbances are considered. | |
| 540 | |a ©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston | ||
| 700 | 1 | |a Lee |D Kai Ming |u Free University Amsterdam and Tinbergen Institute, klee@feweb.vu.nl |4 aut | |
| 700 | 1 | |a Koopman |D Siem Jan |u Free University Amsterdam, s.j.koopman@feweb.vu.nl |4 aut | |
| 773 | 0 | |t Studies in Nonlinear Dynamics & Econometrics |d De Gruyter |g 8/2(2004-05-18) |q 8:2 |1 2004 |2 8 |o snde | |
| 856 | 4 | 0 | |u https://doi.org/10.2202/1558-3708.1210 |q text/html |z Onlinezugriff via DOI |
| 908 | |D 1 |a research article |2 jats | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.2202/1558-3708.1210 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Lee |D Kai Ming |u Free University Amsterdam and Tinbergen Institute, klee@feweb.vu.nl |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Koopman |D Siem Jan |u Free University Amsterdam, s.j.koopman@feweb.vu.nl |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Studies in Nonlinear Dynamics & Econometrics |d De Gruyter |g 8/2(2004-05-18) |q 8:2 |1 2004 |2 8 |o snde | ||
| 900 | 7 | |b CC0 |u http://creativecommons.org/publicdomain/zero/1.0 |2 nationallicence | |
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| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-gruyter | ||