MCMC maximum likelihood for latent state models
Year of publication: |
2007
|
---|---|
Authors: | Jacquier, Eric ; Johannes, Michael ; Polson, Nicholas G. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 137.2007, 2, p. 615-640
|
Subject: | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Monte-Carlo-Simulation | Monte Carlo simulation | CAPM | Volatilität | Volatility | Theorie | Theory |
-
Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S., (2007)
-
Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers
Asai, Manabu, (2016)
-
Numerically accelerated importance sampling for nonlinear non-Gaussian state space models
Koopman, Siem Jan, (2012)
- More ...
-
MCMC maximum likelihood for latent state models
Jacquier, Eric, (2007)
-
MCMC maximum likelihood for latent state models
Jacquier, Eric, (2007)
-
MCMC methods for continuous-time financial econometrics
Johannes, Michael, (2010)
- More ...