Seminário - Imecc Unicamp

Amanhã, dia 3, estarei dando um seminário no Imecc-Unicamp:

A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models

 Márcio Laurini

Abstract

In this paper we analyze a maximum likelihood estimator using data cloning for stochastic volatility models.This estimator is constructed using a hybrid methodology based on Integrated Nested Laplace Approximations to calculate analytically the auxiliary Bayesian estimators with great accuracy and computational efficiency, without requiring the use of simulation methods as Markov Chain Monte Carlo. We analyze the performance of this estimator compared to methods based in Monte Carlo simulations (Simulated Maximum Likelihood, MCMC Maximum Likelihood) and approximate maximum likelihood estimators using Laplace Approximations. The results indicate that this data cloning methodology achieves superior results over methods based on MCMC, and comparable to results obtained by the Simulated Maximum Likelihood estimator.

Nem preciso dizer o quanto é bom estar de volta ao Imecc. Sinto muilta falta do ambiente e dos amigos de lá. Fico na Unicamp nos dias 3 e 4, e espero aproveitar bastante a estadia.