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Fast efficient importance sampling by state space methods
Koopman, Siem Jan; Nguyen, Thuy Minh - 2012
Persistent link: https://www.econbiz.de/10009722707
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The analysis of stochastic volatility in the presence of daily realised measures
Koopman, Siem Jan; Scharth, Marcel - 2011
Persistent link: https://www.econbiz.de/10010191086
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Extremum Monte Carlo filters : real-time signal extraction via simulation and regression
Blasques, Francisco; Koopman, Siem Jan; Moussa, Karim - 2023 - This version: March 23, 2023
This paper introduces a novel simulation-based filtering method for general state space models. It allows for the …
Persistent link: https://www.econbiz.de/10014247627
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On importance sampling for state space models
Jungbacker, Borus; Koopman, Siem Jan - 2005
and smoother and the simulation smoother which do not rely on a linear Gaussian observation equation. Furthermore, results …
Persistent link: https://www.econbiz.de/10011348357
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The stochastic volatility in mean model
Koopman, Siem Jan; Hol Uspensky, Eugenie - 2000
(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable …
Persistent link: https://www.econbiz.de/10011303314
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Numerically accelerated importance sampling for nonlinear non-Gaussian state space models
Koopman, Siem Jan; Lucas, André; Scharth, Marcel - 2012
methods. Our methodology explores the idea that only a small part of the likelihood evaluation problem requires simulation. We …-off encountered by other sampling methods. An elaborate simulation study and an empirical application for U.S. stock returns reveal …
Persistent link: https://www.econbiz.de/10011386179
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Time series models with a common stochastic variance for analysing economic time series
Koopman, Siem Jan; Bos, Charles S. - 2002
The linear Gaussian state space model for which the common variance istreated as a stochastic time-varying variable is considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters related to the stochasticprocesses of the mean part...
Persistent link: https://www.econbiz.de/10011327834