Accurate methods for approximate Bayesian Computation Filtering
Laurent E. Calvet, Veronika Czellar
| Year of publication: |
2015
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|---|---|
| Authors: | Calvet, Laurent E. ; Czellar, Veronika |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 13.2015, 4, p. 798-838
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| Subject: | bandwidth | kernel density estimation | likelihood estimation | model selection | particle filterstate-space model | value-at-risk forecasts | Schätztheorie | Estimation theory | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Monte-Carlo-Simulation | Monte Carlo simulation | Bayes-Statistik | Bayesian inference | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbu019 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011417791