Billio, Monica; Monfort, Alain - In: Journal of Financial Econometrics 1 (2003) 3, pp. 297-326
The class of parametric dynamic latent variable models is becoming increasingly popular in finance and economics. Latent factor models, switching regimes models, stochastic volatility models, and dynamic disequilibrium models are only a few examples of this class of model. Inference in this...