Particle filters and Bayesian inference in financial econometrics
From MaRDI portal
Publication:3018542
DOI10.1002/for.1195zbMath1217.91146MaRDI QIDQ3018542
Ruey S. Tsay, Hedibert Freitas Lopes
Publication date: 27 July 2011
Published in: Journal of Forecasting (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/for.1195
stochastic volatility; Markov chain Monte Carlo; sequential Monte Carlo; realized volatility; particle learning; Nelson-Siegel model
91B82: Statistical methods; economic indices and measures
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Uses Software
Cites Work
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