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Effects of filtering data on testing asymmetry in threshold autoregressive models

Li, Jing - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 5, pp. 549-565

Persistent link: https://www.econbiz.de/10011649160

Trend inflation estimates for Thailand from disaggregated data

Pym Manopimoke; Vorada Limjaroenrat - In: Economic modelling 65 (2017), pp. 75-94

Persistent link: https://www.econbiz.de/10011813600

Sequential Monte Carlo for fractional stochastic volatility models

Chronopoulou, Alexandra; Spiliopoulos, Konstantinos - In: Quantitative finance 18 (2018) 3, pp. 507-517

Persistent link: https://www.econbiz.de/10011906404

Multivariate stochastic volatility with co-heteroscedasticity

Chan, Joshua; Doucet, Arnaud; León-González, Roberto; … - 2018

Persistent link: https://www.econbiz.de/10012203994

Sequential gibbs particle filter algorithm with applications to stochastic volatility and jumps estimation

Witzany, Jiří; Fičura, Milan - In: Finance a úvěr 69 (2019) 5, pp. 463-488

Persistent link: https://www.econbiz.de/10012170648

Use of adapted particle filters in SVJD models

Fičura, Milan; Witzany, Jiří - In: European financial and accounting journal : EFAJ 13 (2018) 3, pp. 5-20

Particle Filter algorithms for filtering latent states (volatility and jumps) of Stochastic-Volatility Jump-Diffusion (SVJD) models are being explained. Three versions of the SIR particle filter with adapted proposal distributions to the jump occurrences, jump sizes, and both are derived and...

Persistent link: https://www.econbiz.de/10012118579