Local scale models: state space alternative to integrated GARCH processes

Ítems similars

• Local Scale Models: State Space Alternative to Integrated GARCH Processes.
  per: Shephard, N
  Publicat: (1994)
• Exact score for time series models in state space form
  per: Koopman, S, et al.
  Publicat: (1992)
• Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models
  per: Pitt, M, et al.
  Publicat: (1999)
• Inference for adaptive time series models: stochastic volatility and conditionally Gaussian state space form
  per: Bos, C, et al.
  Publicat: (2006)
• Statistical algorithms for models in state space form using SsfPack 2.2
  per: Koopman, S, et al.
  Publicat: (1999)