Estimation of stochastic volatility models via Monte Carlo maximum likelihood

Journal of Econometrics

Volumn 87, Issue 2, 1998, Pages 271-301

  Sandmann, Gleb ^a   Koopman, Siem Jan ^b  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^b TILBURG UNIVERSITY   (Netherlands)

Author keywords

GARCH model; Importance sampling; Kalman filter smoother; Monte Carlo simulation; Quasi maximum likelihood; Stochastic Volatility; Unobserved components

Indexed keywords

EID: 0000254890     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(98)00016-5     Document Type: Article

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