An Efficient Method for Maximum Likelihood Estimation of a Stochastic Volatility Model
In this paper an efficient, simulation-based, maximumlikelihood (ML) method is proposed for estimating Taylor’sstochastic volatility (SV) model. The new method isbased on the second order Taylor approximation to the integrand.The approximation enables us to transfer the numericalproblem in the Lapla...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2008
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/1540 https://ink.library.smu.edu.sg/context/lkcsb_research/article/2539/viewcontent/efficientmethod.pdf |
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| Institution: | Singapore Management University |
| Language: | English |