NCER Working Paper Series Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter


Many approaches have been proposed for estimating stochastic volatility (SV) models, a number of which are filtering methods. While non-linear filtering methods are superior to linear approaches, non-linear filtering methods have not gained a wide acceptance in the econometrics literature due to their computational cost. This paper proposes a discretised… (More)


11 Figures and Tables

Slides referencing similar topics