Particle Filters for Markov-Switching Stochastic-Correlation Models
暂无分享,去创建一个
[1] M. McAleer,et al. Dynamic Correlations in Symmetric Multivariate SV Models , 2005 .
[2] R. Engle. Dynamic Conditional Correlation , 2002 .
[3] Nicholas G. Polson,et al. Practical filtering with sequential parameter learning , 2008 .
[4] D. Dey,et al. A General Class of Multivariate Skew-Elliptical Distributions , 2001 .
[5] M. Pitt,et al. Filtering via Simulation: Auxiliary Particle Filters , 1999 .
[6] M. McAleer,et al. Multivariate Stochastic Volatility: A Review , 2006 .
[7] Nicolas Chopin,et al. Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation , 2004 .
[8] Neil J. Gordon,et al. A tutorial on particle filters for online nonlinear/non-Gaussian Bayesian tracking , 2002, IEEE Trans. Signal Process..
[9] S. Sahu,et al. A new class of multivariate skew distributions with applications to bayesian regression models , 2003 .
[10] N. Shephard,et al. Analysis of high dimensional multivariate stochastic volatility models , 2006 .
[11] L. Bauwens,et al. Multivariate GARCH Models: A Survey , 2003 .
[12] Luc Bauwens,et al. A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models , 2005 .
[13] Michael A. West,et al. Combined Parameter and State Estimation in Simulation-Based Filtering , 2001, Sequential Monte Carlo Methods in Practice.
[14] C. Gouriéroux,et al. The Wishart Autoregressive Process of Multivariate Stochastic Volatility , 2009 .
[15] M. West,et al. Bayesian Dynamic Factor Models and Portfolio Allocation , 2000 .
[16] S. Julier,et al. A General Method for Approximating Nonlinear Transformations of Probability Distributions , 1996 .
[17] C. Gouriéroux,et al. The Wishart Autoregressive of Multivariate Stochastic Volatility , 2004 .
[18] Christian Musso,et al. Improving Regularised Particle Filters , 2001, Sequential Monte Carlo Methods in Practice.
[19] P. Manimaran,et al. Modelling Financial Time Series , 2006 .
[20] Nicholas G. Polson,et al. State Space and Unobserved Component Models: Practical filtering for stochastic volatility models , 2004 .
[21] Sequential Inference and State Number Determination for Discrete State-Space Models through Particle Filtering , 2001 .
[22] N. G. Best,et al. Dynamic conditional independence models and Markov chain Monte Carlo methods , 1997 .
[23] N. Shephard,et al. Multivariate stochastic variance models , 1994 .
[24] Arjun K. Gupta,et al. A multivariate skew normal distribution , 2004 .
[25] Jun Yu,et al. Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison , 2006 .
[26] M. McAleer,et al. The structure of dynamic correlations in multivariate stochastic volatility models , 2009 .
[27] Neil J. Gordon,et al. A tutorial on particle filters for online nonlinear/non-Gaussian Bayesian tracking , 2002, IEEE Trans. Signal Process..
[28] Nicholas G. Polson,et al. Practical filtering with sequential parameter learning , 2008 .
[29] Peter E. Rossi,et al. Bayesian Analysis of Stochastic Volatility Models , 1994 .
[30] Stephen G. Walker,et al. Markov beta and gamma processes for modelling hazard rates , 2002 .
[31] A. Harvey,et al. 5 Stochastic volatility , 1996 .
[32] Stephen L Taylor,et al. Modelling Financial Time Series , 1987 .
[33] Stephen G. Walker,et al. Constructing First Order Stationary Autoregressive Models via Latent Processes , 2002 .
[34] M. Glickman,et al. Multivariate Stochastic Volatility via Wishart Processes , 2006 .
[35] Monica Billio,et al. Stochastic optimization for allocation problems with shortfall risk constraints , 2007 .
[36] Engle Russel,et al. Autoregressive Gamma Processes , 2022 .
[37] Arnaud Doucet,et al. Sequential Monte Carlo Methods , 2006, Handbook of Graphical Models.
[38] Luc Bauwens,et al. A New Class of Multivariate Skew Densities, with Application to GARCH Models , 2002 .
[39] Timothy J. Robinson,et al. Sequential Monte Carlo Methods in Practice , 2003 .
[40] S. Chib,et al. Multivariate stochastic volatility , 2009 .
[41] Mark F. J. Steel,et al. Bayesian Multivariate Regression Analysis with a New Class of Skewed Distributions , 2004 .
[42] Stephen G. Walker,et al. Stationary Autoregressive Models Via a Bayesian Nonparametric Approach , 2005 .