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MCMC maximum likelihood for latent state models


  • Jacquier, Eric
  • Johannes, Michael
  • Polson, Nicholas


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Suggested Citation

  • Jacquier, Eric & Johannes, Michael & Polson, Nicholas, 2007. "MCMC maximum likelihood for latent state models," Journal of Econometrics, Elsevier, vol. 137(2), pages 615-640, April.
  • Handle: RePEc:eee:econom:v:137:y:2007:i:2:p:615-640

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    Cited by:

    1. Forneron, Jean-Jacques & Ng, Serena, 2018. "The ABC of simulation estimation with auxiliary statistics," Journal of Econometrics, Elsevier, vol. 205(1), pages 112-139.
    2. Creal, Drew D. & Wu, Jing Cynthia, 2015. "Estimation of affine term structure models with spanned or unspanned stochastic volatility," Journal of Econometrics, Elsevier, vol. 185(1), pages 60-81.
    3. Augustyniak, Maciej, 2014. "Maximum likelihood estimation of the Markov-switching GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 61-75.
    4. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    5. Anna Gottard & Giorgio Calzolari, 2014. "Alternative estimating procedures for multiple membership logit models with mixed effects: indirect inference and data cloning," Econometrics Working Papers Archive 2014_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    6. Avramov, Doron & Hore, Satadru, 2017. "Cross-sectional factor dynamics and momentum returns," Journal of Financial Markets, Elsevier, vol. 32(C), pages 69-96.
    7. Jiří Witzany, 2013. "Estimating Correlated Jumps and Stochastic Volatilities," Prague Economic Papers, University of Economics, Prague, vol. 2013(2), pages 251-283.
    8. Helmut Lütkepohl & Aleksei NetŠunajev, 2014. "Disentangling Demand And Supply Shocks In The Crude Oil Market: How To Check Sign Restrictions In Structural Vars," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 479-496, April.
    9. Chiarella, Carl & Hung, Hing & T, Thuy-Duong, 2009. "The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2075-2088, April.
    10. repec:prg:jnlefa:v:2018:y:2018:i:3:id:211:p:05-20 is not listed on IDEAS
    11. Tahir Ekin & Nicholas G. Polson & Refik Soyer, 2014. "Augmented Markov Chain Monte Carlo Simulation for Two-Stage Stochastic Programs with Recourse," Decision Analysis, INFORMS, vol. 11(4), pages 250-264, December.
    12. Picchini, Umberto & Anderson, Rachele, 2017. "Approximate maximum likelihood estimation using data-cloning ABC," Computational Statistics & Data Analysis, Elsevier, vol. 105(C), pages 166-183.
    13. repec:eee:reensy:v:179:y:2018:i:c:p:52-61 is not listed on IDEAS
    14. Avramov, Doron & Hore, Satadru, 2015. "Cross-Sectional Factor Dynamics and Momentum Returns," Supervisory Research and Analysis Working Papers RPA 15-2, Federal Reserve Bank of Boston.

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