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Estimation of state changes in system descriptions for dynamic Bayesian networks by using a genetic procedure and particle filters
Lu, Jianjun; Tokinaga, Shozo - In: Economic modelling 39 (2014), pp. 138-145
Persistent link: https://www.econbiz.de/10010419966
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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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Numerical analysis of rating transition matrix depending on latent macro factor via nonlinear particle filter method
Nakagawa, Hidetoshi; Takada, Hideyuki - In: Journal of financial engineering 1 (2014) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10010508007
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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
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Multivariate stochastic volatility with dynamic cross leverage
Trojan, Sebastian - 2014
Persistent link: https://www.econbiz.de/10010437486
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Some nonstandard stochastic volatility models and their estimation using structured hidden Markov models
Langrock, Roland; MacDonald, Iain L.; Zucchini, Walter - In: Journal of empirical finance 19 (2012) 1, pp. 147-161
Persistent link: https://www.econbiz.de/10009615752
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A survey of sequential Monte Carlo methods for economics and finance
Creal, Drew - In: Econometric reviews 31 (2012) 1/3, pp. 245-296
Persistent link: https://www.econbiz.de/10009515959
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Bayesian estimation of DSGE models
Guerrón-Quintana, Pablo A.; Nason, James Michael - 2012
Persistent link: https://www.econbiz.de/10009561198
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Time-varying parameter VAR model with stochastic volatility : an overview of methodology and empirical applications
Nakajima, Jouchi - In: Monetary and economic studies 29 (2011), pp. 107-142
Persistent link: https://www.econbiz.de/10009385289
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Time-varying parameter VAR model with stochastic volatility : an overview of methodology and empirical applications
Nakajima, Jouchi - 2011
Persistent link: https://www.econbiz.de/10008937530