An Efficient Method for Maximum Likelihood Estimation of a Stochastic Volatility Model

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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書目詳細資料
Main Authors:	HUANG, Junying, Shirley, YU, Jun
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2008
主題:	Finance and Financial Management Portfolio and Security Analysis
在線閱讀:	https://ink.library.smu.edu.sg/lkcsb_research/1540 https://ink.library.smu.edu.sg/context/lkcsb_research/article/2539/viewcontent/efficientmethod.pdf
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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