11-090/4 - Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models

• Authors
  Geert Mesters, Netherlands Institute for the Study of Crime and Law Enforcement; Siem Jan Koopman, VU University Amsterdam; Marius Ooms, VU University Amsterdam
• Publication date
  June 27, 2011

• Keywords
  Fractional Integration, Importance Sampling, Kalman Filter, Latent Factors, Stochastic Volatility
• JEL
  C33, C43