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A computational analysis of the tradeoff in the estimation of different state space specifications of continuous time affine term structure models

Juneja, Januj Amar - In: Computational economics 60 (2022) 1, pp. 173-220

Persistent link: https://www.econbiz.de/10013262506

On importance sampling for state space models

Jungbacker, Borus; Koopman, Siem Jan - 2005

and smoother and the simulation smoother which do not rely on a linear Gaussian observation equation. Furthermore, results …

Persistent link: https://www.econbiz.de/10011348357

Extremum Monte Carlo filters : real-time signal extraction via simulation and regression

Blasques, Francisco; Koopman, Siem Jan; Moussa, Karim - 2023 - This version: March 23, 2023

This paper introduces a novel simulation-based filtering method for general state space models. It allows for the …

Persistent link: https://www.econbiz.de/10014247627

Style analysis with particle filtering and generalized simulated annealing

Fukui, Takaya; Sato, Seisho; Takahashi, Akihiko - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-29

Persistent link: https://www.econbiz.de/10011778283

Time series models with a common stochastic variance for analysing economic time series

Koopman, Siem Jan; Bos, Charles S. - 2002

The linear Gaussian state space model for which the common variance istreated as a stochastic time-varying variable is considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters related to the stochasticprocesses of the mean part...

Persistent link: https://www.econbiz.de/10011327834