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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2014
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| Subjects: | |
| 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 |