Bayesian estimation of dynamic asset pricing models with informative observations
type: Item
instance of: scholarly article
title: Bayesian estimation of dynamic asset pricing models with informative observations
zbMATH Open document ID: 1452.62765
author: Andras Fulop
author: Junye Li
published in: Journal of Econometrics
publication date: 2019-04-30T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 62-08
zbMATH DE Number: 7049025
zbMATH Keywords: non-affineness
zbMATH Keywords: self-exciting jumps
zbMATH Keywords: optimal proposal density
zbMATH Keywords: auxiliary particle filter
zbMATH Keywords: common random numbers
zbMATH Keywords: sequential Monte Carlo sampler
MaRDI profile type: Publication
full work available at URL: j.jeconom.2018.11.014
OpenAlex ID: W2908072806
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Wikidata QID: Q128885203
DOI: 10.1016/J.JECONOM.2018.11.014
description: scientific article; zbMATH DE number 7049025