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~language:"und"
~subject:"Importance Sampling"
~subject:"Markov Chain Monte-Carlo"
~subject:"regime switching"
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Importance Sampling
Markov Chain Monte-Carlo
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Multi-state Duration models
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credit risk
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efficient importance sampling
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generalized autoregressive score model
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observation vs. parameter driven dynamics
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Monteiro, André A.
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Lucas, Andre
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Testing for Parameter Instability in Competing Modeling Frameworks
Calvori, Francesco
;
Creal, Drew
;
Koopman, Siem Jan
; …
-
Tinbergen Instituut
-
2014
-local
parameter
driven
time-variation. For
parameter
driven
time variation close to the null or for infrequent structural changes, the …
Persistent link: https://www.econbiz.de/10011255854
Saved in:
2
Parameter
Driven
Multi-state Duration Models: Simulated vs. Approximate Maximum Likelihood Estimation
Monteiro, André A.
-
Tinbergen Institute
-
2008
-form expressions for the implied data density are not available. This is a common and well-known problem for most
parameter
driven
…
Persistent link: https://www.econbiz.de/10005137247
Saved in:
3
Parameter
Driven
Multi-state Duration Models: Simulated vs. Approximate Maximum Likelihood Estimation
Monteiro, André A.
-
Tinbergen Instituut
-
2008
-form expressions for the implied data density are not available. This is a common and well-known problem for most
parameter
driven
…
Persistent link: https://www.econbiz.de/10011257216
Saved in:
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