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 ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
