Essays on Monte Carlo Methods for State Space Models

M. Scharth Figueiredo Pinto

Essays on Monte Carlo Methods for State Space Models

M. Scharth Figueiredo Pinto

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Research output: PhD Thesis › PhD-Thesis - Research and graduation internal

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Original language	English
Qualification	PhD
Awarding Institution	Vrije Universiteit Amsterdam
Supervisors/Advisors	Koopman, Siem Jan, Supervisor Lucas, André, Supervisor
Award date	17 Dec 2012
Place of Publication	Amsterdam
Publisher	Tinbergen Institute
Publication status	Published - 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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CoverFinal published version, 725 KB
Title pageFinal published version, 25.9 KB
Abstract dutchFinal published version, 56.1 KB
Abstract englishFinal published version, 53.8 KB
Table of contentsFinal published version, 46.9 KB
Complete dissertationFinal published version, 1.09 MB

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@phdthesis{5e697a565c3a48abbbd2bc75db9729bc,

title = "Essays on Monte Carlo Methods for State Space Models",

keywords = "Kalman filter, generalised autoregressive score models., importance sampling, realised volatility, simulated maximum likelihood, state space models, stochastic volatility",

author = "{Scharth Figueiredo Pinto}, M.",

note = "Naam instelling promotie: VU Vrije Universiteit Naam instelling onderzoek: VU Vrije Universiteit",

year = "2012",

language = "English",

publisher = "Tinbergen Institute",

type = "PhD-Thesis - Research and graduation internal",

school = "Vrije Universiteit Amsterdam",

}

TY - THES

T1 - Essays on Monte Carlo Methods for State Space Models

AU - Scharth Figueiredo Pinto, M.

N1 - Naam instelling promotie: VU Vrije Universiteit Naam instelling onderzoek: VU Vrije Universiteit

PY - 2012

Y1 - 2012

KW - Kalman filter

KW - generalised autoregressive score models.

KW - importance sampling

KW - realised volatility

KW - simulated maximum likelihood

KW - state space models

KW - stochastic volatility

M3 - PhD-Thesis - Research and graduation internal

PB - Tinbergen Institute

CY - Amsterdam

ER -