Particle filters and Bayesian inference in financial econometrics
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- Gordy, Michael B. & Szerszen, Pawel J., 2015. "Bayesian Estimation of Time-Changed Default Intensity Models," Finance and Economics Discussion Series 2015-2, Board of Governors of the Federal Reserve System (U.S.).
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Keywordsparticle learning ; sequential Monte Carlo ; Markov chain Monte Carlo ; stochastic volatility ; realized volatility ; Nelson–Siegel model ;
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