Essays on Monte Carlo Methods for State Space Models

M. Scharth Figueiredo Pinto

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

Original languageEnglish
QualificationPhD
Awarding Institution
  • Vrije Universiteit Amsterdam
Supervisors/Advisors
  • Koopman, S.J., 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

Cite this

Scharth Figueiredo Pinto, M. (2012). Essays on Monte Carlo Methods for State Space Models. Amsterdam: Tinbergen Institute.
Scharth Figueiredo Pinto, M.. / Essays on Monte Carlo Methods for State Space Models. Amsterdam : Tinbergen Institute, 2012. 205 p.
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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",
school = "Vrije Universiteit Amsterdam",

}

Scharth Figueiredo Pinto, M 2012, 'Essays on Monte Carlo Methods for State Space Models', PhD, Vrije Universiteit Amsterdam, Amsterdam.

Essays on Monte Carlo Methods for State Space Models. / Scharth Figueiredo Pinto, M.

Amsterdam : Tinbergen Institute, 2012. 205 p.

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

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 VU, graduation VU

PB - Tinbergen Institute

CY - Amsterdam

ER -

Scharth Figueiredo Pinto M. Essays on Monte Carlo Methods for State Space Models. Amsterdam: Tinbergen Institute, 2012. 205 p.