Estimation of stochastic volatility models via Monte Carlo maximum likelihood-Reference-Cited by-同舟云学术

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Estimation of stochastic volatility models via Monte Carlo maximum likelihood

Published:1998-12 Issue:2 Volume:87 Page:271-301
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Sandmann Gleb,Koopman Siem Jan

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference42 articles.

1. Stochastic autoregressive volatility;Andersen;Mathematical Finance,1994

2. GMM estimation of a stochastic volatility model;Andersen;Journal of Business and Economic Statistics,1996

3. Polar generation of random variates with the t-distribution;Bailey;Mathematics of Computation,1994

4. The message in daily exchange rates;Baillie;Journal of Business and Economic Statistics,1989

5. ARCH models;Bera;Journal of Economic Surveys,1993

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