caa a22 4500 378929763 CHVBK 20180305123626.0 cr unu---uuuuu 161128e20040518xx s 000 0 eng 10.2202/1558-3708.1210 doi (NATIONALLICENCE)gruyter-10.2202/1558-3708.1210 Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers [Elektronische Daten] [Kai Ming Lee, Siem Jan Koopman] 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. ©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston Lee Kai Ming Free University Amsterdam and Tinbergen Institute, klee@feweb.vu.nl aut Koopman Siem Jan Free University Amsterdam, s.j.koopman@feweb.vu.nl aut Studies in Nonlinear Dynamics & Econometrics De Gruyter 8/2(2004-05-18) 8:2 2004 8 snde https://doi.org/10.2202/1558-3708.1210 text/html Onlinezugriff via DOI 1 research article jats NATIONALLICENCE 856 40 https://doi.org/10.2202/1558-3708.1210 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Lee Kai Ming Free University Amsterdam and Tinbergen Institute, klee@feweb.vu.nl aut NATIONALLICENCE 700 1- Koopman Siem Jan Free University Amsterdam, s.j.koopman@feweb.vu.nl aut NATIONALLICENCE 773 0- Studies in Nonlinear Dynamics & Econometrics De Gruyter 8/2(2004-05-18) 8:2 2004 8 snde CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-gruyter