Testing the assumptions behind importance sampling

Journal of Econometrics

Volumn 149, Issue 1, 2009, Pages 2-11

  Koopman, Siem Jan ^a,b   Shephard, Neil ^c   Creal, Drew ^a  

^a VU UNIVERSITY AMSTERDAM   (Netherlands)

^b TINBERGEN INSTITUTE   (Netherlands)

^c UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

Extreme value theory; Importance sampling; Simulation; Stochastic volatility

Indexed keywords

ECONOMIC ANALYSIS; PARAMETER ESTIMATION; RANDOM PROCESSES; SAMPLING; STOCHASTIC MODELS;

ASYMPTOTIC NORMALITIES; EXTREME VALUE THEORY; IMPORTANCE SAMPLING; SIMULATION; SPEED OF CONVERGENCES; SQUARE ROOTS; STOCHASTIC VOLATILITY; STOCHASTIC VOLATILITY MODELS;

MAXIMUM LIKELIHOOD ESTIMATION;

EID: 63149119676     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.10.002     Document Type: Article

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