Estimation of stochastic volatility models: An approximation to the nonlinear state space representation

Communications in Statistics: Simulation and Computation

Volumn 34, Issue 2, 2005, Pages 429-450

  Shimada, Junji ^a   Tsukuda, Yoshihiko ^b  

^a AOYAMA GAKUIN UNIVERSITY   (Japan)

^b TOHOKU UNIVERSITY   (Japan)

Author keywords

Laplace approximation; Nonlinear state space representation; Stochastic volatility

Indexed keywords

EID: 20644458318     PISSN: 03610918     EISSN: None     Source Type: Journal    
DOI: 10.1081/SAC-200055729     Document Type: Article

References (27)