Factor estimation using MCMC-based Kalman filter methods

DOI10.1016/J.CSDA.2008.07.027zbMath1231.62175OpenAlexW1992458780MaRDI QIDQ961117

Sarantis Tsiaplias

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.07.027

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Economic time series analysis (91B84) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (2)

A Multivariate GARCH Model Incorporating the Direct and Indirect Transmission of Shocks ⋮ Bayesian inference in a stochastic volatility Nelson-Siegel model

Cites Work

• Markov chains for exploring posterior distributions. (With discussion)
• Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
• Markov chain Monte Carlo in conditionally Gaussian state space models
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Volatility and Links between National Stock Markets
• On Gibbs sampling for state space models
• Likelihood analysis of non-Gaussian measurement time series
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Efficient Bayesian Inference for Dynamic Mixture Models
• Optimal Mean-Squared-Error Batch Sizes

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