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Estimation of agent-based models using sequential Monte Carlo methods
Lux, Thomas - 2017
resorted to simulation-based methods mostly using some form of simulated method of moments estimation (SMM). There is, however …Estimation of agent-based models is currently an intense area of research. Recent contributions have to a large extent … inference. Here we resort to Sequential Monte Carlo (SMC) estimation based on a particle filter. This approach is used here to …
Persistent link: https://www.econbiz.de/10011748807
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Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua; Doucet, Arnaud; León-González, Roberto; … - 2018
Persistent link: https://www.econbiz.de/10012203994
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Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua; Doucet, Arnaud; León-González, Roberto; … - 2018
Persistent link: https://www.econbiz.de/10012196752
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Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua; Doucet, Arnaud; León-González, Roberto; … - 2020 - This version: September 2020
Persistent link: https://www.econbiz.de/10013355422
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Bayesian estimation of agent-based models via adaptive particle Markov chain Monte Carlo
Lux, Thomas - 2020
Bayesian estimation using a Markov chain Monte Carlo approach (MCMC). One major problem in the design of MCMC estimators is …
Persistent link: https://www.econbiz.de/10012164264
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Bayesian estimation of agent-based models via adaptive particle Markov chain Monte Carlo
Lux, Thomas - In: Computational economics 60 (2022) 2, pp. 451-477
Persistent link: https://www.econbiz.de/10013380785
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Estimation of state-space models with endogenous Markov regime-switching parameters
Kang, Kyu Ho - In: The econometrics journal 17 (2014) 1, pp. 56-82
Persistent link: https://www.econbiz.de/10010498759
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Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form
Bos, Charles S.; Shephard, Neil G. - 2004
In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are ineffective, but that this problem can be removed by...
Persistent link: https://www.econbiz.de/10011334849
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Regime switching stochastic volatility with skew, fat tails and leverage using returns and realized volatility contemporaneously
Trojan, Sebastian - 2013
Persistent link: https://www.econbiz.de/10010243571
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Modeling intraday stochastic volatility and conditional duration contemporaneously with regime shifts
Trojan, Sebastian - 2014
Persistent link: https://www.econbiz.de/10010437483