Estimation of the Stochastic Volatility Models by Simulated Maximum
Likelihood: C++ Code
Department of Economics
University of Iceland
This is documentation for a C++ implementation of the simulated maximum
likelihood (SML) estimation method, where the SML algorithm is applied to
the stochastic volatility (SV) model. The algorithm and code can easily be
adapted to a richer class of SV models, as well as to more general dynamic
- Daníelsson, Jon (1994), "Stochastic Volatility in Asset Prices,
Estimation with Simulated Maximum Likelihood," Journal of
Daníelsson, Jon (1995), "Multivariate Stochastic Volatility
Models and GARCH Models," mimeo, University of Iceland.
Daníelsson, Jon and J.F. Richard (1983), "Quadratic
Acceleration for Simulated Maximum Likelihood Estimation," Journal of Applied
Econometrics 8, 153-173.