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: HUANG, Junying, Shirley, YU, Jun
格式: text
語言:English
出版: Institutional Knowledge at Singapore Management University 2008
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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
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機構: Singapore Management University
語言: English