Estimating stochastic volatility models: A comparison of two importance samplers

Studies in Nonlinear Dynamics and Econometrics

Volumn 8, Issue 2, 2004, Pages

  Lee, Kai Ming ^a,b   Koopman, Siem Jan ^a,b  

^a VU UNIVERSITY AMSTERDAM   (Netherlands)

^b TINBERGEN INSTITUTE   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 14844367078     PISSN: 15583708     EISSN: 10811826     Source Type: Journal    
DOI: 10.2202/1558-3708.1210     Document Type: Conference Paper

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