Essays on Monte Carlo Methods for State Space Models

M. Scharth Figueiredo Pinto

Research output: PhD ThesisPhD Thesis - Research VU Amsterdam, graduation VU Amsterdam

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Original languageEnglish
QualificationPhD
Awarding Institution
  • Vrije Universiteit Amsterdam
Supervisors/Advisors
  • Koopman, SJ, Supervisor
  • Lucas, André, Supervisor
Award date17 Dec 2012
Place of PublicationAmsterdam
Publisher
Publication statusPublished - 2012

Bibliographical note

Naam instelling promotie: VU Vrije Universiteit
Naam instelling onderzoek: VU Vrije Universiteit

Keywords

  • Kalman filter
  • generalised autoregressive score models.
  • importance sampling
  • realised volatility
  • simulated maximum likelihood
  • state space models
  • stochastic volatility

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