Simulated likelihood inference for stochastic volatility models using continuous particle filtering (2014)

First Author: Pitt M
Attributed to:  Advanced Monte Carlo Methods for Inference in Complex Dynamic Models funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1007/s10463-014-0456-y

Publication URI: http://dx.doi.org/10.1007/s10463-014-0456-y

Type: Journal Article/Review

Parent Publication: Annals of the Institute of Statistical Mathematics

Issue: 3