Search Results - subject:"sequential monte carlo"

Cai, Michael; Del Negro, Marco; Herbst, Edward P.; … - In: The econometrics journal 24 (2021) 1, pp. C33-C58

Persistent link: https://www.econbiz.de/10012504440

Sequential learning of cryptocurrency volatility dynamics : evidence based on a stochastic volatility model with jumps in returns and volatility

Huang, Jing-Zhi; Huang, Zhijian; Xu, Li - In: The quarterly journal of finance 11 (2021) 2, pp. 1-37

Persistent link: https://www.econbiz.de/10012649885

Self-exciting jumps in the oil market : bayesian estimation and dynamic hedging

Gonzato, Luca; Sgarra, Carlo - In: Energy economics 99 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012939406

Bayesian modelling, Monte Carlo sampling and capital allocation of insurance risks

Peters, Gareth W.; Targino, Rodrigo S.; Wüthrich, Mario V. - In: Risks 5 (2017) 4, pp. 1-51

Monte Carlo algorithms are described and their efficiency is analysed. … approaches for dealing with parameter uncertainty are discussed and simulation algorithms based on (pseudo-marginal) Sequential …

Persistent link: https://www.econbiz.de/10011996548

Monetary policy, inflation target and the great moderation : an empirical investigation

Haque, Qazi - 2017

Persistent link: https://www.econbiz.de/10011885981

Bayesian modelling, Monte Carlo sampling and capital allocation of insurance risks

Peters, Gareth; Targino, Rodrigo S.; Wüthrich, Mario V. - In: Risks : open access journal 5 (2017) 4, pp. 1-51

Persistent link: https://www.econbiz.de/10011783091

Sequentially adaptive Bayesian learning for a nonlinear model of the secular and cyclical behavior of US real GDP

Geweke, John - In: Econometrics 4 (2016) 1, pp. 1-23

There is a one-to-one mapping between the conventional time series parameters of a third-order autoregression and the more interpretable parameters of secular half-life, cyclical half-life and cycle period. The latter parameterization is better suited to interpretation of results using both...

Persistent link: https://www.econbiz.de/10011755315

Evolutionary sequential Monte Carlo samplers for change-point models

Dufays, Arnaud - In: Econometrics 4 (2016) 1, pp. 1-33

Sequential Monte Carlo (SMC) methods are widely used for non-linear filtering purposes. However, the SMC scope …

Persistent link: https://www.econbiz.de/10011755319

Sequentially adaptive Bayesian learning for a nonlinear model of the secular and cyclical behavior of US real GDP

Geweke, John - In: Econometrics : open access journal 4 (2016) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10011504629

Evolutionary sequential Monte Carlo samplers for change-point models

Dufays, Arnaud - In: Econometrics : open access journal 4 (2016) 1, pp. 1-33

Sequential Monte Carlo (SMC) methods are widely used for non-linear filtering purposes. However, the SMC scope …

Persistent link: https://www.econbiz.de/10011504888