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11-057/4 - Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models

  • Authors
    Siem Jan Koopman, VU University Amsterdam; Andre Lucas, VU University Amsterdam; Marcel Scharth, VU University Amsterdam
  • Publication date
    March 22, 2011
  • Keywords
    State space models, importance sampling, simulated maximum likelihood, stochastic volatility, stochastic copula, stochastic conditional duration
  • JEL
    C15, C22
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