A flexible and automated likelihood based framework for inference in stochastic volatility models

A flexible and automated likelihood based framework for inference in 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 (...

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Bibliographic Details
Main Authors: SKAUG, Hans J., YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2014
Subjects:
Empirical Bayes
Laplace approximation
Automatic differentiation; AD Model Builder
Simulated maximum likelihood
Importance sampling
Econometrics
Economics
Online Access:https://ink.library.smu.edu.sg/soe_research/1615
https://ink.library.smu.edu.sg/context/soe_research/article/2614/viewcontent/FlexibleAutomatedLikelihoodStochasticVolatility_2014.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1615
https://ink.library.smu.edu.sg/context/soe_research/article/2614/viewcontent/FlexibleAutomatedLikelihoodStochasticVolatility_2014.pdf

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