Particle filters and Bayesian inference in financial econometrics
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- Haakon Kavli & Kevin Kotzé, 2014. "Spillovers in Exchange Rates and the Effects of Global Shocks on Emerging Market Currencies," South African Journal of Economics, Economic Society of South Africa, vol. 82(2), pages 209-238, June.
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Keywordsparticle learning ; sequential Monte Carlo ; Markov chain Monte Carlo ; stochastic volatility ; realized volatility ; Nelson–Siegel model ;
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