Particle Filtering

DOI10.1007/978-3-540-71297-8_44zbMath1178.62107OpenAlexW4252322211MaRDI QIDQ3646991

Michael S. Johannes, Nicholas G. Polson

Publication date: 27 November 2009

Published in: Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-71297-8_44

zbMATH Keywords

SIRsampling importance resamplinglog-stochastic volatility model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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A tale of two option markets: pricing kernels and volatility risk ⋮ BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS ⋮ Time-varying forecasts by variational approximation of sequential Bayesian inference

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