Accurate Methods for Approximate Bayesian Computation Filtering
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References listed on IDEAS
- 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.
- Laurent E. Calvet & Veronika Czellar, 2011. "State-Observation Sampling and the Econometrics of Learning Models," Papers 1105.4519, arXiv.org.
- Laurent Calvet & Adlai Fisher, 2008. "Multifractal Volatility: Theory, Forecasting and Pricing," Post-Print hal-00671877, HAL.
- Shephard, Neil (ed.), 2005. "Stochastic Volatility: Selected Readings," OUP Catalogue, Oxford University Press, number 9780199257201.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Forneron, Jean-Jacques & Ng, Serena, 2018.
"The ABC of simulation estimation with auxiliary statistics,"
Journal of Econometrics,
Elsevier, vol. 205(1), pages 112-139.
- Jean-Jacques Forneron & Serena Ng, 2015. "The ABC of Simulation Estimation with Auxiliary Statistics," Papers 1501.01265, arXiv.org, revised Oct 2017.
- Gael M. Martin & Brendan P.M. McCabe & David T. Frazier & Worapree Maneesoonthorn & Christian P. Robert, 2016. "Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models," Monash Econometrics and Business Statistics Working Papers 09/16, Monash University, Department of Econometrics and Business Statistics.
- Ajay Jasra, 2015. "Approximate Bayesian Computation for a Class of Time Series Models," International Statistical Review, International Statistical Institute, vol. 83(3), pages 405-435, December.
More about this item
Keywordsbandwidth; kernel density estimation; likelihood estimation; model selection; particle filter; state-space model; value-at-risk forecasts;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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