Bayesian estimation of long-run risk models using sequential Monte Carlo

DOI10.1016/J.JECONOM.2020.12.008MaRDI QIDQ2116359zbMATH OpenOpenAlexFDO

Authors Andras Fulop, Jeremy Heng, Junye Li, Hening Liu

Publication date 16 March 2022

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2020.12.008

zbMATH Keywords

particle filtersprojection methodsasset pricingautoregressive gamma processlog-linearizationlong-run risksequential Monte Carlo sampler

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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Cited in

(2)

• An Invitation to Sequential Monte Carlo Samplers
• Bayesian Estimation for the Markov-Modulated Diffusion Risk Model

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