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Modelling stochastic volatility with leverage and jumps A simulated maximum likelihood approach via particle filtering
S Malik, MK Pitt - Available at SSRN 1763783, 2011 - papers.ssrn.com
In this paper we provide a unified methodology for conducting likelihood-based inference on the unknown parameters of a general class of discrete-time stochastic volatility (SV) models…
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In this paper we provide a unified methodology for conducting likelihood-based inference on the unknown parameters of a general class of discrete-time stochastic volatility (SV) models…