Bayesian estimation of long-run risk models using sequential Monte Carlo (Q2116359)
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scientific article; zbMATH DE number 7491177
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bayesian estimation of long-run risk models using sequential Monte Carlo |
scientific article; zbMATH DE number 7491177 |
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Bayesian estimation of long-run risk models using sequential Monte Carlo (English)
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16 March 2022
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asset pricing
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long-run risk
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autoregressive gamma process
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log-linearization
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projection methods
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particle filters
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sequential Monte Carlo sampler
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