I am new to time series modelling.I cant get my head around parameter estimation and its methods. My question consists of 3 parts :
1st : Lets say i have a model like Garch or Heston model or a SVJD model having multiple terms and multiple iid random variables.How do i estimate the parameters with simple methods like mle or OLS (or its not possible) possibly in R using inbuilt functions for mle(i can do for estimating Arima).
2nd : Is there a general approach i can use to estimate the parameters of any complex model without relying on any external library.
3rd : How does Kalman filters , Monte-carlo simulation, martingale measures can estimate parameters .(It would be very helpful if you could cite a book or a tutorial).
(Do i need to know all the estimation methods or a simple few would do for testing mid-frequency strategies).
(I have read the source code of custom libraries in R and i could not understand anything (implementation) beyond Arima.)