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~source:"econstor"
~subject:"Volatility"
~subject:"Volatilität"
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Volatility
Volatilität
state space models
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state-space models
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Koopman, Siem Jan
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Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian
State
Space
Models
Koopman, Siem Jan
;
Lucas, Andre
;
Scharth, Marcel
-
2011
We introduce a new efficient importance sampler for nonlinear non-Gaussian
state
space
models
. We propose a general and …
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