Automated Likelihood Based Inference for Stochastic Volatility Models

Automated Likelihood Based Inference for Stochastic Volatility Models

The Laplace approximation is used to perform maximum likelihood estimation of univariate and multivariate stochastic volatility (SV) models. It is shown that the implementation of the Laplace approximation is greatly simplified by the use of a numerical technique known as automatic differentiation (...

Full description

Saved in:
Bibliographic Details
Main Authors: Skaug, H., YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2009
Subjects:
Empirical Bayes
Laplace approximation
Automatic differentiation
AD Model Builder
Simulated maximum likelihood
Importance sampling
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1151
https://ink.library.smu.edu.sg/context/soe_research/article/2150/viewcontent/sml_ADMB13.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1151
https://ink.library.smu.edu.sg/context/soe_research/article/2150/viewcontent/sml_ADMB13.pdf

Similar Items