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

asset pricingautoregressive gamma processlog-linearizationlong-run riskparticle filtersprojection methodssequential Monte Carlo sampler

Mathematics Subject Classification ID

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

Cites work

• \(\mathrm{SMC}^2\): an efficient algorithm for sequential analysis of state space models
• An adaptive sequential Monte Carlo method for approximate Bayesian computation
• Convergence properties of pseudo-marginal Markov chain Monte Carlo algorithms
• Dynamic valuation decomposition within stochastic economies
• Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator
• Efficient learning via simulation: a marginalized resample-move approach
• Following a moving target -- Monte Carlo inference for dynamic Bayesian models
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• scientific article; zbMATH DE number 1241609 (Why is no real title available?)
• scientific article; zbMATH DE number 2106098 (Why is no real title available?)
• Identifying long-run risks: a Bayesian mixed-frequency approach
• On the convergence of adaptive sequential Monte Carlo methods
• On the efficiency of pseudo-marginal random walk Metropolis algorithms
• Particle Markov Chain Monte Carlo Methods
• Projection methods for solving aggregate growth models
• Rational Pessimism, Rational Exuberance, and Asset Pricing Models
• Sequential Monte Carlo Samplers
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• The pseudo-marginal approach for efficient Monte Carlo computations

Cited in

(2)

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

This page was built for publication: Bayesian estimation of long-run risk models using sequential Monte Carlo

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2116359)