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Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers

✍ Scribed by Lee, Kai Ming; Koopman, Siem Jan

Book ID
121840520
Publisher
The Berkeley Electronic Press,Walter de Gruyter GmbH & Co. KG
Year
2004
Tongue
English
Weight
413 KB
Volume
8
Category
Article
ISSN
1081-1826

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Stochastic volatility models (SVMs) represent an important framework for the analysis of financial time series data, together with ARCH-type models; but unlike the latter, the former, at least from the statistical point of view, cannot rely on the possibility of obtaining exact inference, in particu