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Bayesian analysis of a threshold stochastic volatility model

Wirjanto, Tony S.; Kolkiewicz, Adam W.; Men, Zhongxian - In: Journal of forecasting 35 (2016) 5, pp. 462-476

Persistent link: https://www.econbiz.de/10011580989

Marginalized predictive likelihood comparisons of linear gaussian state-space models with applications to DSGE, DSGE-VAR, and VAR models

Warne, Anders; Coenen, Günter; Christoffel, Kai - In: Journal of applied econometrics 32 (2017) 1, pp. 103-119

Persistent link: https://www.econbiz.de/10011688267

Forecasting volatility using realized stochastic volatility model with time-varying leverage effect

Wu, Xinyu; Wang, Xiaona - In: Finance research letters 34 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012436997

Monte Carlo maximum likelihood estimation for generalized long-memory time series models

Mesters, G.; Koopman, Siem Jan; Ooms, Marius - In: Econometric reviews 35 (2016) 1/4, pp. 659-687

Persistent link: https://www.econbiz.de/10011550112

State correlation and forecasting : a Bayesian approach using unobserved components models

Uzeda, Luis - In: Essays in honour of Fabio Canova, (pp. 25-53). 2022

Persistent link: https://www.econbiz.de/10013443965

Style analysis with particle filtering and generalized simulated annealing

Fukui, Takaya; Sato, Seisho; Takahashi, Akihiko - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-29

Persistent link: https://www.econbiz.de/10011778283

Sequential Monte Carlo sampling for state space models

Wüthrich, Mario V. - In: Robustness in econometrics, (pp. 25-50). 2017

The aim of these notes is to revisit sequential Monte Carlo (SMC) sampling. SMC sampling is a powerful simulation tool for solving non-linear and/or non-Gaussian state space models. We illustrate this with several examples.

Persistent link: https://www.econbiz.de/10011800920

Simple factor realized stochastic volatility models

Kawakatsu, Hiroyuki - In: Journal of time series econometrics 15 (2023) 1, pp. 79-110

Persistent link: https://www.econbiz.de/10014288373

Particle Markov chain Monte Carlo techniques of unobserved component time series models using ox

Nonejad, Nima - In: Journal of time series econometrics 8 (2016) 1, pp. 55-90

Persistent link: https://www.econbiz.de/10011440481

Estimate long memory causality relationship by wavelet method

Li, Yushu - In: Computational economics 45 (2015) 4, pp. 531-544

Persistent link: https://www.econbiz.de/10011440949

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