A survey of sequential Monte Carlo methods for economics and finance

DOI10.1080/07474938.2011.607333zbMATH Open1491.62008OpenAlexW1999674105MaRDI QIDQ5080148FDOQ5080148

Authors: Drew Creal 

Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://research.vu.nl/en/publications/991e471a-a074-42a1-8206-0fbef56a3d93

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zbMATH Keywords

Kalman filterMarkov chain Monte Carlosequential Monte Carloparticle filterstate space models

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20)

Cites Work

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Cited In (48)

• Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
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• Convex non-parametric least squares, causal structures and productivity
• On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
• Time series of count data: a review, empirical comparisons and data analysis
• Forecast density combinations of dynamic models and data driven portfolio strategies
• Estimation of agent-based models using sequential Monte Carlo methods
• On a model of environmental performance and technology gaps
• On recursive Bayesian predictive distributions
• Sequential Bayesian inference for vector autoregressions with stochastic volatility
• Maximum likelihood estimation of the Markov-switching GARCH model
• Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
• A fast and efficient Markov chain Monte Carlo method for market microstructure model
• A sparse matrix formulation of model-based ensemble Kalman filter
• High dimensional dynamic stochastic copula models
• Time-varying combinations of predictive densities using nonlinear filtering
• The dynamic factor network model with an application to international trade
• Efficient estimation of conditionally linear and Gaussian state space models
• Option pricing under stochastic volatility models with latent volatility
• A Class of Non-Gaussian State Space Models With Exact Likelihood Inference
• DSGE pileups
• Bayesian Inference in Common Microeconometric Models With Massive Datasets by Double Marginalized Subsampling
• Sequential Monte Carlo methods for option pricing
• Heterogeneity of consumption responses to income shocks in the presence of nonlinear persistence
• Second-order extended particle filter with exponential family observation model
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• Specification tests based on MCMC output
• Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions
• Particle filters and Bayesian inference in financial econometrics
• Multidimensional integration through Markovian sampling under steered function morphing: a physical guise from statistical mechanics
• Sequentially adaptive Bayesian learning algorithms for inference and optimization
• A Bayesian chi-squared test for hypothesis testing
• A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving
• Sequential Monte Carlo methods in Bayesian joint models for longitudinal and time-to-event data
• Filtering and estimation for a class of stochastic volatility models with intractable likelihoods
• A flexible predictive density combination for large financial data sets in regular and crisis periods
• Estimation of affine term structure models with spanned or unspanned stochastic volatility
• Particle Markov chain Monte Carlo techniques of unobserved component time series models using Ox
• Deviance information criterion for latent variable models and misspecified models
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• Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule
• Management and takeover decisions
• Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters
• Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure
• Learning for infinitely divisible GARCH models in option pricing
• Efficient inference for nonlinear state space models: an automatic sample size selection rule
• Bayesian inference of multivariate rotated GARCH models with skew returns
• Hamiltonian sequential Monte Carlo with application to consumer choice behavior

Uses Software

• Ox

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