Particle filters and Bayesian inference in financial econometrics

Hedibert F. Lopes and Ruey S. Tsay

Journal of Forecasting, 2011, vol. 30, issue 1, 168-209

Abstract: HASH(0x100a788a8)

Keywords: particle learning; sequential Monte Carlo; Markov chain Monte Carlo; stochastic volatility; realized volatility; Nelson–Siegel model (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (31)

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Persistent link: https://EconPapers.repec.org/RePEc:jof:jforec:v:30:y:2011:i:1:p:168-209

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