Electronic Resource
Cambridge, Mass.
:
Berkeley Electronic Press (now: De Gruyter)
Studies in nonlinear dynamics and econometrics
8.2004, 2, art5
ISSN:
1081-1826
Source:
Berkeley Electronic Press Academic Journals
Topics:
Mathematics
,
Economics
Notes:
In this paper, we describe and compare two simulated Maximum Likelihood estimation methods for a basic stochastic volatility model. For both methods, the likelihood function is estimated using importance sampling techniques. Based on a Monte Carlo study, we assess which method is more effective. Further, we validate the two methods using diagnostic importance sampling test procedures. Stochastic volatility models with Gaussian and Student-t distributed disturbances are considered.
Type of Medium:
Electronic Resource
URL:
http://www.bepress.com/snde/vol8/iss2/art5
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