MCMC maximum likelihood for latent state models

Journal of Econometrics

Volumn 137, Issue 2, 2007, Pages 615-640

  Jacquier, Eric ^a   Johannes, Michael ^b   Polson, Nicholas ^c  

^a Canada H3A 2T7   (Canada)

^b Och Spine at New York Presbyterian Hospitals   (United States)

^c UNIVERSITY OF CHICAGO   (United States)

Author keywords

Diffusion; Evolutionary Monte Carlo; Financial econometrics; Jumps; Maximum likelihood; MCMC; Optimization; Simulated annealing; Stochastic volatility

Indexed keywords

ALGORITHMS; COMPUTER SIMULATION; DIFFUSION; MAXIMUM LIKELIHOOD ESTIMATION; MONTE CARLO METHODS; SIMULATED ANNEALING;

FINANCIAL ECONOMETRICS; MARKOV CHAIN MONTE CARLO METHODS (MCMC); STOCHASTIC VOLATILITY;

MARKOV PROCESSES;

EID: 33847247851     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.11.017     Document Type: Article

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