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Likelihood Inference for a COGARCH Process Using Sequential Monte Carlo
by
Wee, Damien C H
,
Chen, Feng
,
Dunsmuir, William T M
Published in
Journal of financial econometrics
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Likelihood inference for Markov switching GARCH(1,1) models using sequential Monte Carlo
by
Wee, Damien C.H.
,
Chen, Feng
,
Dunsmuir, William T.M.
Published in
Econometrics and statistics
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Econometrics And Statistics
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Journal Of Financial Econometrics
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Business & Economics
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Economics
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Social Sciences
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Business, Finance
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Cogarch
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Financial Econometrics
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Financial Forecasting And Simulation
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High-Frequency Data
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Information And Market Efficiency, Event Studies, Insider Trading
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Intractable Likelihood
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Lévy Process
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Maximum Likelihood Estimation
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Maximum-Likelihood-Schätzung
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Missing Data
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Model Construction And Estimation
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Monte-Carlo-Simulation
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Particle Filter
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Regime Switching
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Schätztheorie
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Sequential Monte Carlo
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Oxford Journals Online
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Econlit S Plnými Texty
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Sciencedirect Journals
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Sciencedirect Freedom Collection 2022-2024
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