Michael K. Pitt

University of Warwick

Gibbet Hill Rd.

Coventry, West Midlands CV4 8UW

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

337

SSRN CITATIONS
Rank 18,356

SSRN RANKINGS

Top 18,356

in Total Papers Citations

2

CROSSREF CITATIONS

52

Scholarly Papers (3)

1.

Modelling Stochastic Volatility with Leverage and Jumps: A Simulated Maximum Likelihood Approach via Particle Filtering

Number of pages: 53 Posted: 21 Feb 2011
Sheheryar Malik and Michael K. Pitt
Banque de France and University of Warwick
Downloads 220 (156,622)
Citation 35

Abstract:

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Stochastic Volatility, Particle Filter, Simulation, State Space, Leverage Effect, Jumps

2.

Importance Sampling Squared for Bayesian Inference in Latent Variable Models

Number of pages: 39 Posted: 28 Jan 2014
Minh-Ngoc Tran, Marcel Scharth, Michael K. Pitt and Robert Kohn
UNSW Business School, The University of Sydney, University of Warwick and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 80 (342,018)
Citation 13

Abstract:

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Efficient importance sampling, marginal likelihood, multinomial logit, particle marginal Metropolis-Hastings, optimal number of particles, stochastic volatility

3.

On Some Properties of Markov Chain Monte Carlo Simulation Methods Based on the Particle Filter

Journal of Econometrics, Vol. 171, No. 2, 2012, UNSW Business School Research Paper Forthcoming
Number of pages: 38 Posted: 05 Jun 2019
Michael K. Pitt, Ralph Silva, Paolo Giordani and Robert Kohn
University of Warwick, Universidade Federal do Rio de Janeiro (UFRJ), Norwegian Business School and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 37 (488,183)
Citation 2

Abstract:

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Auxiliary variables; Adapted ļ¬ltering; Bayesian inference; Simulated likelihood