[R-SIG-Finance] where can I find source code for particle filters applied to stochastic volatilities?

Michael comtech.usa at gmail.com
Sun Feb 24 06:37:10 CET 2008


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



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