Simulated maximum likelihood for general stochastic volatility models: a change of variable approach

Maximum likelihood has proved to be a valuable tool for fitting the log-normal stochastic volatility model to financial returns time series. Using a sequential change of variable framework, we are able to cast more general stochastic volatility models into a form appropriate for importance samplers based on the Laplace approximation. We apply the methodology to two example models, showing that efficient importance samplers can be constructed even for highly non-Gaussian latent processes such as square-root diffusions.Change of Variable; Heston Model; Laplace Importance Sampler; Simulated Maximum Likelihood; Stochastic Volatility

Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time

A new algorithm is developed to provide a simulated maximum likelihood estimation of the GARCH diffusion model of Nelson (1990) based on return data only. The method combines two accurate approximation procedures, namely, the polynomial expansion of Aït-Sahalia (2008) to approximate the transition probability density of return and volatility, and the Efficient Importance Sampler (EIS) of Richard and Zhang (2007) to integrate out the volatility. The first and second order terms in the polynomial expansion are used to generate a base-line importance density for an EIS algorithm. The higher order terms are included when evaluating the importance weights. Monte Carlo experiments show that the new method works well and the discretization error is well controlled by the polynomial expansion. In the empirical application, we fit the GARCH diffusion to equity data, perform diagnostics on the model fit, and test the finiteness of the importance weights.Ecient importance sampling; GARCH diusion model; Simulated Maximum likelihood; Stochastic volatility

Simulated Maximum Likelihood Estimation for Latent Diffusion Models

In this paper a method is developed and implemented to provide the simulated maximum likelihood estimation of latent diffusions based on discrete data. The method is applicable to diffusions that either have latent elements in the state vector or are only observed at discrete time with a noise. Latent diffusions are very important in practical applications in nancial economics. The proposed approach synthesizes the closed form method of Aït-Sahalia (2008) and the ecient importance sampler of Richard and Zhang (2007). It does not require any inll observations to be introduced and hence is computationally tractable. The Monte Carlo study shows that the method works well in finite sample. The empirical applications illustrate usefulness of the method and find no evidence of infinite variance in the importance sampler.Closed-form approximation; Diusion Model; Ecient importance sampler

Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models

In this paper we develop and implement a method for maximum simulated likelihood estimation of the continuous time stochastic volatility model with the constant elasticity of volatility. The approach do not require observations on option prices nor volatility. To integrate out latent volatility from the joint density of return and volatility, a modified efficient importance sampling technique is used after the continuous time model is approximated using the Euler-Maruyama scheme. The Monte Carlo studies show that the method works well and the empirical applications illustrate usefulness of the method. Empirical results provide strong evidence against the Heston model.Efficient importance sampler; Constant elasticity of volatility

Factors Associated with Academic Performance Among Second-Year Undergraduate Occupational Therapy Students

Background: Research into occupational therapy education and its outcomes for students is growing. More research is needed to determine the factors of importance for occupational therapy students’ academic outcomes. This study aimed to investigate factors associated with academic performance among second-year undergraduate occupational therapy students in Norway. Methods: Occupational therapy students (n = 111) from two education programs completed questionnaires asking for sociodemographic, work-related, and education-related information. Hierarchical linear regression analysis was used to examine factors independently associated with the students’ academic performance. Results: A higher age was associated with better average academic performance among the students, whereas having higher education experience before entering the occupational therapy program was associated with poorer average academic performance. Conclusions: Students of a higher age may have life experience that easily translates into good academic results, and they may represent an under-used resource for improving the academic climate and understanding subsequent exam results among undergraduate occupational therapy students. However, prior higher education experience from disciplines different from occupational therapy, and that hold different expectations toward students, may hinder good academic performance in occupational therapy coursework

A practical approach to project management in a very small company

This article shows how a very small company has tailored Scrum according to its own needs. The main additions made were the “sprint design” phase and the “sprint test” phase. Before the sprint 0, the requirements elicitation and the functional specification were made in order to meet deadlines and costs agreed with clients. Besides, the introduction of an agile project management tool has supported all the process and it is considered the main success factor for the institutionalization of the Scrum process

Average crack-front velocity during subcritical fracture propagation in a heterogeneous medium

We study the average velocity of crack fronts during stable interfacial fracture experiments in a heterogeneous quasibrittle material under constant loading rates and during long relaxation tests. The transparency of the material (polymethylmethacrylate) allows continuous tracking of the front position and relation of its evolution to the energy release rate. Despite significant velocity fluctuations at local scales, we show that a model of independent thermally activated sites successfully reproduces the large-scale behavior of the crack front for several loading conditions