Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation

Econometrics and Statistics ◽

10.1016/j.ecosta.2019.08.002 ◽

2020 ◽

Vol 13 ◽

pp. 84-105 ◽

Author(s):

Xiuping Mao ◽

Veronika Czellar ◽

Esther Ruiz ◽

Helena Veiga

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Particle Filter ◽

Stochastic Volatility ◽

Likelihood Estimation ◽

Stochastic Volatility Models ◽

Simulated Maximum Likelihood ◽

Volatility Models

Download Full-text

Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions

Quantitative Finance ◽

10.1080/14697688.2016.1185142 ◽

2016 ◽

Vol 16 (9) ◽

pp. 1393-1411 ◽

Author(s):

Yijie Peng ◽

Michael C. Fu ◽

Jian-Qiang Hu

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Stochastic Volatility ◽

Likelihood Estimation ◽

Characteristic Functions ◽

Stochastic Volatility Models ◽

Simulated Maximum Likelihood ◽

Volatility Models ◽

Download Full-text

Simulated maximum likelihood estimation of continuous time stochastic volatility models

Maximum Simulated Likelihood Methods and Applications - Advances in Econometrics ◽

10.1108/s0731-9053(2010)0000026009 ◽

2010 ◽

pp. 137-161 ◽

Author(s):

Tore Selland Kleppe ◽

Jun Yu ◽

H.J. Skaug

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Stochastic Volatility ◽

Continuous Time ◽

Likelihood Estimation ◽

Stochastic Volatility Models ◽

Simulated Maximum Likelihood ◽

Volatility Models

Download Full-text

Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein–Uhlenbeck stochastic volatility models

Quantitative Finance ◽

10.1080/14697688.2013.832864 ◽

2013 ◽

Vol 14 (8) ◽

pp. 1399-1414 ◽

Author(s):

Yi-Jie Peng ◽

Michael C. Fu ◽

Jian-Qiang Hu

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Stochastic Volatility ◽

Likelihood Estimation ◽

Stochastic Volatility Models ◽

Simulated Maximum Likelihood ◽

Volatility Models ◽

Download Full-text

Numerical integration‐based Gaussian mixture filters for maximum likelihood estimation of asymmetric stochastic volatility models

Econometrics Journal ◽

10.1111/j.1368-423x.2007.00211.x ◽

2007 ◽

Vol 10 (2) ◽

pp. 342-358 ◽

Author(s):

Hiroyuki Kawakatsu

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Numerical Integration ◽

Stochastic Volatility ◽

Likelihood Estimation ◽

Gaussian Mixture ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Gaussian Mixture Filters

Download Full-text

Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models

Brazilian Review of Econometrics ◽

10.12660/bre.v27n22007.1526 ◽

2007 ◽

Vol 27 (2) ◽

pp. 223

Author(s):

Rosemeire O. Ferraz ◽

Luiz K. Hotta

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Stochastic Volatility ◽

Long Memory ◽

Likelihood Estimation ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Quasi Maximum Likelihood

Download Full-text

Maximum likelihood estimation of stochastic volatility models

Journal of Financial Economics ◽

10.1016/j.jfineco.2005.10.006 ◽

2007 ◽

Vol 83 (2) ◽

pp. 413-452 ◽

Author(s):

Yacine Aı¨t-Sahalia ◽

Robert Kimmel

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Stochastic Volatility ◽

Likelihood Estimation ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

Quasi-maximum likelihood estimation of stochastic volatility models

Journal of Econometrics ◽

10.1016/0304-4076(93)01569-8 ◽

1994 ◽

Vol 63 (1) ◽

pp. 289-306 ◽

Author(s):

Esther Ruiz

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Stochastic Volatility ◽

Likelihood Estimation ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Quasi Maximum Likelihood

Download Full-text

Maximum Likelihood Estimation of Stochastic Volatility Models Using Option Prices

SSRN Electronic Journal ◽

10.2139/ssrn.890601 ◽

2005 ◽

Author(s):

Neil D. Pearson ◽

Jian Yang

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Stochastic Volatility ◽

Likelihood Estimation ◽

Option Prices ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH

Studies in Nonlinear Dynamics & Econometrics ◽

10.1515/snde-2012-0017 ◽

2013 ◽

Vol 17 (4) ◽

Author(s):

Wei-Fang Niu

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Stochastic Volatility ◽

Continuous Time ◽

Likelihood Estimation ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Partially Observed

Download Full-text

Maximum Likelihood Estimation of Stochastic Volatility Models

10.3386/w10579 ◽

2004 ◽

Author(s):

Yacine Ait-Sahalia ◽

Robert Kimmel

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Stochastic Volatility ◽

Likelihood Estimation ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text