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