Michael K. Pitt

University of Warwick

Gibbet Hill Rd.

Coventry, West Midlands CV4 8UW

United Kingdom

  • University of Warwick

SCHOLARLY PAPERS

3

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501

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52

Scholarly Papers (3)

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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 272 (179,908)
Citation 35

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

2.

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 119 (370,437)
Citation 3

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Auxiliary variables; Adapted filtering; Bayesian inference; Simulated likelihood

3.

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 110 (391,919)
Citation 13

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