Michael
2008-Feb-24 05:37 UTC
[R] where can I find source code for particle filters applied to stochastic volatilities?
Hi all, Could anybody point me to some overview/survey papers about using particle filters and sequential monte carlo methods to estimate stochastic volatilities? I couldn't find any such articles giving a big-picture view of the literature. How do these estimation methods compare to EMM and other Bayesian methods for estimating stochastic volatilities? Also, I am looking for some sample/source code that shows how to program particle filters and sequential monte carlo methods to estimate stochastic volatilities... Could anybody give me some pointers? Thanks a lot
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