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Studies in Nonlinear Dynamics & Econometrics

Ed. by Mizrach, Bruce

5 Issues per year


IMPACT FACTOR 2017: 0.855

CiteScore 2017: 0.76

SCImago Journal Rank (SJR) 2017: 0.668
Source Normalized Impact per Paper (SNIP) 2017: 0.894

Mathematical Citation Quotient (MCQ) 2017: 0.02

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1558-3708
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Volume 8, Issue 2

Issues

Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers

Kai Ming Lee / Siem Jan Koopman
Published Online: 2004-05-18 | DOI: https://doi.org/10.2202/1558-3708.1210

In this paper, we describe and compare two simulated Maximum Likelihood estimation methods for a basic stochastic volatility model. For both methods, the likelihood function is estimated using importance sampling techniques. Based on a Monte Carlo study, we assess which method is more effective. Further, we validate the two methods using diagnostic importance sampling test procedures. Stochastic volatility models with Gaussian and Student-t distributed disturbances are considered.

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Published Online: 2004-05-18


Citation Information: Studies in Nonlinear Dynamics & Econometrics, Volume 8, Issue 2, ISSN (Online) 1558-3708, DOI: https://doi.org/10.2202/1558-3708.1210.

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