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Filtering via simulation: auxiliary particle filters. (1997). Shephard, Neil ; Pitt, Michael K.
In: Economics Papers.
RePEc:nuf:econwp:9713.

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  1. .

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  2. Inference for a class of partially observed point process models. (2013). Martin, James ; McCoy, Emma ; Jasra, Ajay.
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:65:y:2013:i:3:p:413-437.

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  3. Estimating Macroeconomic Models: A Likelihood Approach. (2006). Rubio-Ramirez, Juan F ; Fernandez-Villaverde, Jesus.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0321.

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  4. Estimating Macroeconomic Models: A Likelihood Approach. (2006). Rubio-Ramirez, Juan F ; Fernandez-Villaverde, Jesus.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5513.

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  5. Estimating Macroeconomic Models: A Likelihood Approach. (2006). Rubio-Ramirez, Juan F ; Fernandez-Villaverde, Jesus.
    In: Levine's Bibliography.
    RePEc:cla:levrem:122247000000000849.

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  6. Estimating Nonlinear Dynamic Equilibrium economies: A Likelihood Approach. (2004). Rubio-Ramirez, Juan F ; Fernandez-Villaverde, Jesus.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:04-001.

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  7. Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form. (2004). Shephard, Neil ; Bos, Charles.
    In: Economics Papers.
    RePEc:nuf:econwp:042.

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  8. Volatility Comovement: A Multifrequency Approach. (2004). Fisher, Adlai ; Calvet, Laurent ; Thompson, Samuel B..
    In: NBER Technical Working Papers.
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  9. Estimating nonlinear dynamic equilibrium economies: a likelihood approach. (2004). Rubio-Ramirez, Juan F ; Fernandez-Villaverde, Jesus.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2004-1.

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  10. Analysis of the predictive ability of information accumulated over nights, weekends and holidays. (2004). Tsiakas, Ilias.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:208.

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  11. Power and bipower variation with stochastic volatility and jumps. (2003). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0318.

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  12. Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes. (2003). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
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  13. Smooth Particle Filters for Likelihood Evaluation and Maximisation. (2002). Pitt, Michael K.
    In: The Warwick Economics Research Paper Series (TWERPS).
    RePEc:wrk:warwec:651.

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  14. A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options. (2002). Zhang, Xibin ; Yu, Jun ; Yang, Zhenlin.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2002-17.

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  15. The stochastic volatility in mean model: empirical evidence from international stock markets. (2002). Koopman, Siem Jan ; Uspensky, Eugenie Hol .
    In: Journal of Applied Econometrics.
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  16. Construction of Stationary Time Series via the Giggs Sampler with Application to Volatility Models.. (2001). Pitt, M. K. ; Walker, S. G..
    In: The Warwick Economics Research Paper Series (TWERPS).
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  17. Comment on Garland B. Durham and A. Ronald Gallants Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes. (2001). Shephard, Neil ; Chib, Siddhartha .
    In: Economics Papers.
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  18. Security bid/ask dynamics with discreteness and clustering: Simple strategies for modeling and estimation1. (1999). Hasbrouck, Joel .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:2:y:1999:i:1:p:1-28.

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  19. Hyperparameter estimation in forecast models. (1999). Moreira, Ajax ; Schmidt, Alexandra Mello ; Moreira, Ajax R. Bello, ; Lopes, Hedibert Freitas .
    In: Computational Statistics & Data Analysis.
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  20. Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data. (1998). Hasbrouck, Joel .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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  21. Security Bid/Ask Dynamics with Discreteness and Clustering: Simple Strategies for Modeling and Estimation. (1998). Hasbrouck, Joel .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:98-042.

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  22. Stochastic volatility: likelihood inference and comparison with ARCH models.. (1996). Shephard, Neil ; Chib, Siddhartha .
    In: Economics Papers.
    RePEc:nuf:econwp:9626.

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