Particle filters and Bayesian inference in financial econometrics
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.
Volume (Year): 30 (2011)
Issue (Month): 1 (January)
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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966
particle learning ; sequential Monte Carlo ; Markov chain Monte Carlo ; stochastic volatility ; realized volatility ; Nelson–Siegel model ;
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