Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code
Abstract
This is documentation for a C++ implementation of the simulated maximum likelihood (SML) estimation method, where the SML algorithm is applied to the stochastic volatility (SV) model. The algorithm and code can easily be adapted to a richer class of SV models, as well as to more general dynamic latent-variable models.Recommended Citation
Jón Daníelsson
(1996)
"Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code",
Studies in Nonlinear Dynamics & Econometrics:
Vol. 1:
No. 1,
Algorithm 1.
http://www.bepress.com/snde/vol1/iss1/algorithm1
Related Files
danielsson-code.zip (76 kB)
Code
