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pro vyhledávání: '"Siem Jan Koopman"'
Autor:
Mengheng Li, Siem Jan Koopman
Publikováno v:
Li, M & Koopman, S J 2021, ' Unobserved components with stochastic volatility : Simulation-based estimation and signal extraction ', Journal of Applied Econometrics, vol. 36, no. 5, pp. 614-627 . https://doi.org/10.1002/jae.2831
Journal of Applied Econometrics, 36(5), 614-627. John Wiley and Sons Ltd
Journal of Applied Econometrics, 36(5), 614-627. John Wiley and Sons Ltd
© 2021 The Authors. Journal of Applied Econometrics Published by John Wiley & Sons, Ltd.The unobserved components time series model with stochastic volatility has gained much interest in econometrics, especially for the purpose of modelling and fore
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f97a6cd6c5484a33689312adc36f7b12
https://research.vu.nl/en/publications/ae5f4ec6-d235-4926-a416-2185e808eed7
https://research.vu.nl/en/publications/ae5f4ec6-d235-4926-a416-2185e808eed7
Publikováno v:
Journal of Applied Econometrics. 32:1003-1026
Summary We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear, non-Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when th