A New Approach to Importance Sampling in Taylor’s Stochastic Volatility Model

Author： Sun Bruce Qiang   Chen Xinfu   Huang Ting Ting  

Publisher： Taylor & Francis Ltd

ISSN： 0361-0918

Source： Communications in Statistics: Simulation and Computation, Vol.43, Iss.3, 2014-01, pp. : 580-596

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models

By Li Yong  

Communications in Statistics: Simulation and Computation, Vol. 40, Iss. 7, 2011-07 ,pp. : 1043-1056

Taylor & Francis Ltd

Access to resources Recommend Favorite

The Mean Value Theorem and Taylor’s Expansion in Statistics

By Feng Changyong   Wang Hongyue   Han Yu   Xia Yinglin   Tu Xin M.  

The American Statistician, Vol. 67, Iss. 4, 2013-11 ,pp. : 245-248

Taylor & Francis Ltd

Access to resources Recommend Favorite

Tail Behavior of a Threshold Autoregressive Stochastic Volatility Model

By Diop Aliou   Guegan Dominique  

Extremes, Vol. 7, Iss. 4, 2004-12 ,pp. : 367-375

Springer Publishing Company

Access to resources Recommend Favorite

A Realized Stochastic Volatility Model With Box–Cox Transformation

By Zheng Tingguo   Song Tao  

Journal of Business & Economic Statistics, Vol. 32, Iss. 4, 2014-10 ,pp. : 593-605

Taylor & Francis Ltd

Access to resources Recommend Favorite

Variable dimension via stochastic volatility model using FX rates

By Surapaitoolkorn Wantanee  

Journal of Applied Statistics, Vol. 40, Iss. 10, 2013-10 ,pp. : 2110-2128

Taylor & Francis Ltd

Access to resources Recommend Favorite