A Simulation Study comparing MCMC, QML and GMM Estimation of the Stochastic Volatility Model
The stochastic volatility (SV) model is an alternative to GARCH models to model time varying volatility. In this thesis the basic stochastic volatility model and three different estimation methods are described---namely, Bayesian Markov chain Monte Carlo (MCMC) methods, quasi maximum-likelihood (QML) and generalized method of moments (GMM). To compare these estimation methods a large scale simul
