Similar Search Results

Modeling exchange rate dynamics in Egypt : observed and unobserved volatility

Rofael, Dina; Hosni, Rana - In: Modern economy 6 (2015) 1, pp. 65-80

Persistent link: https://www.econbiz.de/10011285372

Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models

Gagliardini, Patrick; Ghysels, Eric; Rubin, M. - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 509-560

Persistent link: https://www.econbiz.de/10011987633

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

Applying state space models to stochastic claims reserving

Hendrych, Radek; Cipra, Tomáš - In: ASTIN bulletin : the journal of the International … 51 (2021) 1, pp. 267-301

Persistent link: https://www.econbiz.de/10012437283

Applying state space models to stochastic claims reserving

Hendrych, Radek; Cipra, Tomáš - In: ASTIN bulletin : the journal of the International … 51 (2021) 1, pp. 267-301

Persistent link: https://www.econbiz.de/10012437284

Stochastic conditional duration model with intraday seasonality and limit order book information

Toyabe, Tomoki; Nakatsuma, Teruo - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-25

It is a widely known fact that the intraday seasonality of trading intervals for financial transactions such as stocks is short at the beginning of business hours and long in the middle of the day. In this paper, we extend the stochastic conditional duration (SCD) model to capture the pattern of...

Persistent link: https://www.econbiz.de/10013471159