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

DOI10.1016/J.JECONOM.2020.12.008OpenAlexW3124957230MaRDI QIDQ2116359FDOQ2116359

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)

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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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