Bayesian estimation of long-run risk models using sequential Monte Carlo
Andras Fulop, Jeremy Heng, Junye Li, Hening Liu
| Year of publication: |
2022
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|---|---|
| Authors: | Fulop, Andras ; Heng, Jeremy ; Li, Junye ; Liu, Hening |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 228.2022, 1, p. 62-84
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| Subject: | Asset pricing | Autoregressive gamma process | Log-linearization | Long-run risk | Particle filters | Projection methods | Sequential Monte Carlo sampler | Monte-Carlo-Simulation | Monte Carlo simulation | Bayes-Statistik | Bayesian inference | Markov-Kette | Markov chain | Risiko | Risk | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.12.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013441725