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

Abstract

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)

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