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Abstract Article info and citation First page References Supplemental materials Abstract We introduce a new approach to latent state filtering and parameter estimation for a class of stochastic volatility models SVMs for which the likelihood function is unknown. Article information Source Bayesian Anal.
Citation Vankov, Emilian R. Export citation. Export Cancel.
References Abanto-Valle, C. Zentralblatt MATH: Digital Object Identifier: doi You have access to this content.
Stochastic Volatility: Selected Readings (Advanced Texts In Econometrics)
You have partial access to this content. You do not have access to this content. All adapted particle filters outperformed the un-adapted particle filter.
Andersen, T. Volatility Forecasting.
Neil Shephard (Editor of The Methodology and Practice of Econometrics)
DOI: Bates, D. Review of Financial Studies 9, Eraker, B. The Journal of Finance 58, Czech Journal of Economics and Finance 66, Fulop, A. Journal of Econometrics , Review of Financial Studies 28, Gordon, N.