Following a moving target-Monte Carlo inference for dynamic Bayesian models
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- repec:eee:reensy:v:133:y:2015:i:c:p:223-236 is not listed on IDEAS
- He, Zhongfang & Maheu, John M., 2010.
"Real time detection of structural breaks in GARCH models,"
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- Zhongfang He & John M Maheu, 2008. "Real Time Detection of Structural Breaks in GARCH Models," Working Papers tecipa-336, University of Toronto, Department of Economics.
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- Zhongfang He & John M. Maheu, 2009. "Real Time Detection of Structural Breaks in GARCH Models," Staff Working Papers 09-31, Bank of Canada.
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- Rodrigo S. Targino & Gareth W. Peters & Pavel V. Shevchenko, 2014. "Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models," Papers 1410.1101, arXiv.org, revised Feb 2015.
- Chopin, Nicolas & Pelgrin, Florian, 2004. "Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation," Journal of Econometrics, Elsevier, vol. 123(2), pages 327-344, December.
- Fulop, Andras & Li, Junye, 2013. "Efficient learning via simulation: A marginalized resample-move approach," Journal of Econometrics, Elsevier, vol. 176(2), pages 146-161.
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- Andreasen, Martin M., 2011. "Non-linear DSGE models and the optimized central difference particle filter," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1671-1695, October.
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