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A survey of sequential Monte Carlo methods for economics and finance
Creal, Drew - In: Econometric reviews 31 (2012) 1/3, pp. 245-296
Persistent link: https://www.econbiz.de/10009515959
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A Survey of Sequential Monte Carlo Methods for Economics and Finance
Creal, Drew - In: Econometric reviews 31 (2012) 3, pp. 245-297
Persistent link: https://www.econbiz.de/10009986252
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Monte Carlo likelihood estimation for three multivariate stochastic volatility models
Jungbacker, Borus; Meyer, Renate; Koopman, Siem Jan - In: Econometric reviews 25 (2006) 2/3, pp. 385-408
Persistent link: https://www.econbiz.de/10003355799
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Monte Carlo maximum likelihood estimation for generalized long-memory time series models
Mesters, G.; Koopman, Siem Jan; Ooms, Marius - In: Econometric reviews 35 (2016) 1/4, pp. 659-687
Persistent link: https://www.econbiz.de/10011550112
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Nonlinear autoregressive models with optimality properties
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - In: Econometric reviews 39 (2020) 6, pp. 559-578
Persistent link: https://www.econbiz.de/10012195421
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Common and idiosyncratic conditional volatility : theory and empirical evidence from electricity prices
Blasques, Francisco; D'Innocenzo, Enzo; Koopman, Siem Jan - In: Econometric reviews 43 (2024) 8, pp. 638-670
Persistent link: https://www.econbiz.de/10015050635