Martingale unobserved component models
Year of publication: |
2013-02-10
|
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Authors: | Shephard, Neil |
Institutions: | Economics Group, Nuffield College, University of Oxford |
Subject: | auxiliary particle filter | EM algorithm | EWMA | forecasting | Kalman filter | likelihood | martingale unobserved component model | particle filter | stochastic volatility |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 2013-W01 32 pages |
Classification: | C01 - Econometrics ; C14 - Semiparametric and Nonparametric Methods ; c58 ; D53 - Financial Markets ; D81 - Criteria for Decision-Making under Risk and Uncertainty |
Source: |
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Martingale unobserved component models
Shephard, Neil, (2013)
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Shephard, Neil, (2012)
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Shephard, Neil, (2012)
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Parallel Computation in Econometrics: A Simplified Approach
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Shephard, Neil, (2012)
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