Particle filters and Bayesian inference in financial econometrics
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Publication:3018542
DOI10.1002/for.1195zbMath1217.91146OpenAlexW2014730874MaRDI QIDQ3018542
Hedibert Freitas Lopes, Ruey S. Tsay
Publication date: 27 July 2011
Published in: Journal of Forecasting (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/for.1195
stochastic volatilityMarkov chain Monte Carlosequential Monte Carlorealized volatilityparticle learningNelson-Siegel model
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