Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks
Year of publication: |
2015
|
---|---|
Authors: | Nonejad, Nima |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 19.2015, 5, p. 561-584
|
Subject: | ancestor sampling | Bayes | particle filtering | structural breaks | Strukturbruch | Structural break | Stochastischer Prozess | Stochastic process | Stichprobenerhebung | Sampling | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory |
-
Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S., (2007)
-
Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks
Bos, Charles S., (2008)
-
Bianchi, Daniele, (2015)
- More ...
-
A detailed look at crude oil price volatility prediction using macroeconomic variables
Nonejad, Nima, (2020)
-
Nonejad, Nima, (2020)
-
Nonejad, Nima, (2018)
- More ...