Particle filters and Bayesian inference in financial econometrics
| Year of publication: |
2011
|
|---|---|
| Authors: | Lopes, Hedibert F. ; Tsay, Ruey S. |
| Published in: |
Journal of Forecasting. - John Wiley & Sons, Ltd.. - Vol. 30.2011, 1, p. 168-209
|
| Publisher: |
John Wiley & Sons, Ltd. |
| Subject: | particle learning | sequential Monte Carlo | Markov chain Monte Carlo | stochastic volatility | realized volatility | Nelson–Siegel model |