Bayesian estimation of long-run risk models using sequential Monte Carlo
type: Item
instance of: scholarly article
title: Bayesian estimation of long-run risk models using sequential Monte Carlo
author: Andras Fulop
author: Jeremy Heng
author: Junye Li
author: Hening Liu
published in: Journal of Econometrics
publication date: 2022-03-16T00:00:00Z
Mathematics Subject Classification ID: 62-XX
Mathematics Subject Classification ID: 91-XX
zbMATH DE Number: 7491177
zbMATH Keywords: asset pricing
zbMATH Keywords: long-run risk
zbMATH Keywords: autoregressive gamma process
zbMATH Keywords: log-linearization
zbMATH Keywords: projection methods
zbMATH Keywords: particle filters
zbMATH Keywords: sequential Monte Carlo sampler
MaRDI profile type: Publication
full work available at URL: j.jeconom.2020.12.008
OpenAlex ID: W3124957230
cites work: Particle Markov Chain Monte Carlo Methods
cites work: The pseudo-marginal approach for efficient Monte Carlo computations
cites work: Convergence properties of pseudo-marginal Markov chain Monte Carlo algorithms
cites work: Rational Pessimism, Rational Exuberance, and Asset Pricing Models
cites work: On the convergence of adaptive sequential Monte Carlo methods
cites work: SMC2: An Efficient Algorithm for Sequential Analysis of State Space Models
cites work: Q4819702
cites work: Sequential Monte Carlo Samplers
cites work: An adaptive sequential Monte Carlo method for approximate Bayesian computation
cites work: Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator
cites work: Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
cites work: Efficient learning via simulation: a marginalized resample-move approach
cites work: Following a moving target -- Monte Carlo inference for dynamic Bayesian models
cites work: Dynamic valuation decomposition within stochastic economies
cites work: Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
cites work: Projection methods for solving aggregate growth models
cites work: Q4225048
cites work: On the efficiency of pseudo-marginal random walk Metropolis algorithms
cites work: Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
DOI: 10.1016/J.JECONOM.2020.12.008
description: scientific article; zbMATH DE number 7491177