Bayesian estimation of long-run risk models using sequential Monte Carlo
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Publication:2116359
DOI10.1016/J.JECONOM.2020.12.008OpenAlexW3124957230MaRDI QIDQ2116359
Jeremy Heng, Junye Li, Hening Liu, Andras Fulop
Publication date: 16 March 2022
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.12.008
asset pricingprojection methodsparticle filtersautoregressive gamma processlog-linearizationlong-run risksequential Monte Carlo sampler
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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