Sequential Monte Carlo Methods

Jaya P. N. Bishwal
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Jaya P. N. Bishwal: University of North Carolina at Charlotte, Department of Mathematics and Statistics

Chapter Chapter 2 in Parameter Estimation in Stochastic Volatility Models, 2022, pp 79-102 from Springer

Abstract: Abstract Stochastic volatility and long-memory models have received a lot of attention in the last two decades. In this chapter, we study the sequential Monte Carlo (SMC) methods, also known as particle filters, for estimation and pricing in stochastic volatility models with general noises.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-03861-7_2

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DOI: 10.1007/978-3-031-03861-7_2

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