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 (...

Saved in:

書目詳細資料
Main Authors:	SKAUG, Hans J., YU, Jun
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2014
主題:	Empirical Bayes Laplace approximation Automatic differentiation; AD Model Builder Simulated maximum likelihood Importance sampling Econometrics Economics
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/1615 https://ink.library.smu.edu.sg/context/soe_research/article/2614/viewcontent/FlexibleAutomatedLikelihoodStochasticVolatility_2014.pdf
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!

相似書籍

Automated Likelihood Based Inference for Stochastic Volatility Models
由: Skaug, H., et al.
出版: (2009)

A semiparametric stochastic volatility model
由: YU, Jun
出版: (2012)

A semiparametric stochastic volatility model
由: YU, Jun
出版: (2008)

Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time
由: KLEPPE, Tore Selland, et al.
出版: (2010)

Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models
由: KLEPPE, Tore Selland, et al.
出版: (2009)

Improved marginal likelihood estimation via power posteriors and importance sampling
由: LI, Yong, et al.
出版: (2019)

Improved marginal likelihood estimation via power posteriors and importance sampling
由: LI, Yong, et al.
出版: (2023)

Saddlepoint approximation for sample quantiles with some applications
由: Zhu, J., et al.
出版: (2014)

Penalized empirical likelihood inference for sparse additive hazards regression with a diverging number of covariates
由: Wang, Shanshan, et al.
出版: (2016)

Maximum likelihood estimation of partially observed diffusion models
由: KLEPPE, Tore Selland, et al.
出版: (2014)

Simulated Maximum Likelihood Estimation for Latent Diffusion Models
由: KLEPPE, Tore Selland, et al.
出版: (2011)

Robust inference for univariate proportional hazards frailty regression models
由: Kosorok, M.R., et al.
出版: (2014)

On Leverage in a Stochastic Volatility Model
由: YU, Jun
出版: (2005)

On Leverage in a Stochastic Volatility Model
由: YU, Jun
出版: (2004)

On Leverage in a Stochastic Volatility Model
由: YU, Jun
出版: (2004)

EMPIRICAL LIKELIHOOD, CLASSIFICATION AND APPROXIMATE BAYESIAN COMPUTATION
由: PHAM THI KIM CUC
出版: (2016)

A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete Data
由: PHILLIPS, Peter C. B., et al.
出版: (2009)

A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete Data
由: PHILLIPS, Peter C. B., et al.
出版: (2006)

Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models
由: KLEPPE, Tore Selland, et al.
出版: (2010)

BAYESIAN LIKELIHOOD-FREE INFERENCE
由: ATLANTA CHAKRABORTY
出版: (2022)

Efficient estimation of the accuracy of the maximum likelihood method for ancestral state reconstruction
由: Ma, B., et al.
出版: (2014)

Empirical Likelihood in Missing Data Problems
由: QIN, Jing, et al.
出版: (2009)

Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
由: PHILLIPS, Peter C. B., et al.
出版: (2006)

Importance sampling as a variational approximation
由: Nott, D.J., et al.
出版: (2014)

Analysing Survey Data with Incomplete Responses by Using a Method Based on Empirical Likelihood
由: Leung, Denis H. Y., et al.
出版: (2006)

Model selection in validation sampling: An asymptotic likelihood-based lasso approach
由: Leng, C., et al.
出版: (2014)

Maximum likelihood and Gaussian estimation of continuous time models in finance
由: PHILLIPS, Peter C. B., et al.
出版: (2008)

Profile quasi-maximum likelihood estimation of partially linear spatial autoregressive models
由: SU, Liangjun, et al.
出版: (2010)

Case-control genome-wide joint association study using semiparametric empirical model and approximate Bayes factor
由: Xu, J., et al.
出版: (2014)

A comparison of likelihood and Bayesian inference for the threshold parameter in the inverse Gaussian distribution
由: Desmond, A.F., et al.
出版: (2014)

Maximum likelihood inference of the evolutionary history of a PPI network from the duplication history of its proteins
由: Li, S., et al.
出版: (2014)

Reconstructing Free Energy Profiles from Nonequilibrium Relaxation Trajectories
由: Zhang, Q., et al.
出版: (2016)

Semi-parametric inference in a bivariate (multivariate) mixture model
由: LEUNG, Denis H. Y., et al.
出版: (2006)

Empirical likelihood for non-degenerate U-statistics
由: Jing, B.-Y., et al.
出版: (2014)

Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models
由: YU, Jun
出版: (2009)

Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models
由: YU, Jun
出版: (2012)

Cost-effective estimation of the population mean using prediction estimators
由: FUJII, Tomoki, et al.
出版: (2013)

The profile sampler
由: Lee, B.L., et al.
出版: (2014)

An extended empirical likelihood for generalized linear models
由: Chen, S.X., et al.
出版: (2014)

Wavelet domain watermarking using maximum-likelihood detection
由: Ming, N.T., et al.
出版: (2014)