#2547. Unobserved components with stochastic volatility: Simulation-based estimation and signal extraction

December 2026publication date
Proposal available till 30-05-2025
4 total number of authors per manuscript3000 $

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Journal’s subject area:
Social Sciences (miscellaneous);
Economics and Econometrics;
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Abstract:
The article presents a possible simulated maximum likelihood method for estimating parameters from a classical point of view. This method can also be used to estimate the limiting likelihood function in Bayesian analysis. The results show that the simulation-based method is computationally feasible for both one-dimensional and multivariate models.
Keywords:
Modeling, signal extraction, scholastic volatility

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