Particle filters and Bayesian inference in financial econometrics

Journal of Forecasting

Volumn 30, Issue 1, 2011, Pages 168-209

  Lopes, Hedibert F ^a   Tsay, Ruey S ^a  

^a UNIVERSITY OF CHICAGO   (United States)

Author keywords

Markov chain Monte Carlo; Nelson Siegel model; particle learning; realized volatility; sequential Monte Carlo; stochastic volatility

Indexed keywords

BAYESIAN NETWORKS; ECONOMIC ANALYSIS; FINANCIAL DATA PROCESSING; INFERENCE ENGINES; KALMAN FILTERS; LEARNING SYSTEMS; MARKOV CHAINS; STATE SPACE METHODS; STATISTICS; STOCHASTIC MODELS; STOCHASTIC SYSTEMS; TIME SERIES ANALYSIS;

MARKOV CHAIN MONTE-CARLO; NELSON-SIEGEL MODELS; REALIZED VOLATILITY; SEQUENTIAL MONTE CARLO; STOCHASTIC VOLATILITY;

MONTE CARLO METHODS;

EID: 78650767223     PISSN: 02776693     EISSN: 1099131X     Source Type: Journal    
DOI: 10.1002/for.1195     Document Type: Article

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