Simulated likelihood approximations for stochastic volatility models

Scandinavian Journal of Statistics

Volumn 30, Issue 2, 2003, Pages 257-276

  Sørensen, Helle ^a  

^a Department of Mathematics ^*  (Denmark)

Author keywords

Approximate maximum likelihood; Cox Ingersoll Ross process; Discrete time observations; Stochastic volatility models

Indexed keywords

EID: 0037840573     PISSN: 03036898     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9469.00330     Document Type: Article

References (29)

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