Practical filtering with sequential parameter learning
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References listed on IDEAS
- Pitt, Michael K, 2002. "Smooth Particle Filters for Likelihood Evaluation and Maximisation," The Warwick Economics Research Paper Series (TWERPS) 651, University of Warwick, Department of Economics.
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- repec:eee:reensy:v:113:y:2013:i:c:p:7-20 is not listed on IDEAS
- Kostas Triantafyllopoulos, 2009. "Inference of Dynamic Generalized Linear Models: On-Line Computation and Appraisal," International Statistical Review, International Statistical Institute, vol. 77(3), pages 430-450, December.
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"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.
- Zhongfang He & John M. Maheu, 2009. "Real Time Detection of Structural Breaks in GARCH Models," Staff Working Papers 09-31, Bank of Canada.
- Zhongfang He & John M. Maheu, 2009. "Real Time Detection of Structural Breaks in GARCH Models," Working Paper series 11_09, Rimini Centre for Economic Analysis.
- Malik, Sheheryar & Pitt, Michael K., 2011. "Particle filters for continuous likelihood evaluation and maximisation," Journal of Econometrics, Elsevier, vol. 165(2), pages 190-209.
- Karol Gellert & Erik Schlögl, 2018. "Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation," Research Paper Series 392, Quantitative Finance Research Centre, University of Technology, Sydney.
- Laurent-Emmanuel Calvet & Veronika Czellar, 2011.
"State-Observation Sampling and the Econometrics of Learning Models,"
- Calvet, Laurent-Emmanuel & Czellar , Veronika, 2011. "state-observation sampling and the econometrics of learning models," HEC Research Papers Series 947, HEC Paris.
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- Creal, D., 2009. "A survey of sequential Monte Carlo methods for economics and finance," Serie Research Memoranda 0018, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Ren-Her Wang & John Aston & Cheng-Der Fuh, 2010. "The Role of Additional Information in Option Pricing: Estimation Issues for the State Space Model," Computational Economics, Springer;Society for Computational Economics, vol. 36(4), pages 283-307, December.
- Naoki Awaya & Yasuhiro Omori, 2017.
"Particle rolling MCMC with Double Block Sampling: Conditional SMC Update Approach,"
CIRJE-F-1066, CIRJE, Faculty of Economics, University of Tokyo.
- Naoki Awaya & Yasuhiro Omori, 2018. "Particle rolling MCMC with double block sampling: conditional SMC update approach," CIRJE F-Series CIRJE-F-1080, CIRJE, Faculty of Economics, University of Tokyo.
- Karol Gellert & Erik Schlogl, 2018. "Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation," Papers 1806.05387, arXiv.org.
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