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Particle filters and Bayesian inference in financial econometrics. (2011). Lopes, Hedibert F. ; Tsay, Ruey S..
In: Journal of Forecasting.
RePEc:jof:jforec:v:30:y:2011:i:1:p:168-209.

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  1. Sequential estimation of temporally evolving latent space network models. (2023). McCormick, Tyler ; Nunes, Matthew ; Nemeth, Christopher ; Turnbull, Kathryn.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:179:y:2023:i:c:s0167947322002079.

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  2. Inference for Nonlinear State Space Models: A Comparison of Different Methods applied to Markov-Switching Multifractal Models. (2022). Lux, Thomas.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:21:y:2022:i:c:p:69-95.

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  3. A Time?Series Model of Interest Rates with the Effective Lower Bound. (2021). Mertens, Elmar ; Johannsen, Benjamin K.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:53:y:2021:i:5:p:1005-1046.

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  4. Volatility forecasts using stochastic volatility models with nonlinear leverage effects. (2020). Nakatsuma, Teruo ; Ushio, Asahi ; McAlinn, Kenichiro.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:39:y:2020:i:2:p:143-154.

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  5. Forecasting inflation gap persistence: Do financial sector professionals differ from nonfinancial sector ones?. (2020). Dixon, Huw ; Heravi, Saeed ; Easaw, Joshy.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:25:y:2020:i:3:p:461-474.

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  6. A Bayesian Signals Approach for the Detection of Crises. (2020). Tsionas, Mike ; Michaelides, Panayotis ; Xidonas, Panos.
    In: Journal of Quantitative Economics.
    RePEc:spr:jqecon:v:18:y:2020:i:3:d:10.1007_s40953-019-00186-8.

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  7. Bayesian sequential stock return prediction through copulas. (2020). Frey, Christoph ; Virbickait, Audron ; Macedo, Demian N.
    In: The Journal of Economic Asymmetries.
    RePEc:eee:joecas:v:22:y:2020:i:c:s1703494920300207.

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  8. Copula stochastic volatility in oil returns: Approximate Bayesian computation with volatility prediction. (2020). Galeano, Pedro ; Ausin, Concepcion M ; Virbickait, Audron.
    In: Energy Economics.
    RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303017.

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  9. PMCMC for Term Structure of Interest Rates under Markov Regime Switching and Jumps. (2020). Hangyong, Qian ; Shaozhi, Zheng ; Xianglong, LI ; Xiangdong, Liu.
    In: Journal of Systems Science and Information.
    RePEc:bpj:jossai:v:8:y:2020:i:2:p:159-169:n:5.

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  10. A family of multivariate non‐gaussian time series models. (2020). Soyer, Refik ; Polson, Nicholas G ; Aktekin, Tevfik.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:41:y:2020:i:5:p:691-721.

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  11. Dynamic Bayesian predictive synthesis in time series forecasting. (2019). West, Mike ; McAlinn, Kenichiro.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:210:y:2019:i:1:p:155-169.

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  12. Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting. (2019). Aastveit, Knut Are ; West, Mike ; Nakajima, Jouchi ; McAlinn, Kenichiro.
    In: Working Papers.
    RePEc:bny:wpaper:0073.

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  13. Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation. (2018). Schlogl, Erik ; Gellert, Karol.
    In: Research Paper Series.
    RePEc:uts:rpaper:392.

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  14. The time delay restraining the herd behavior with Bayesian approach. (2018). Zhong, Guang-Yan ; Tao, Hui-Ming ; Li, Hai-Feng ; Jiang, George J.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:507:y:2018:i:c:p:335-346.

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  15. Inference for differential equation models using relaxation via dynamical systems. (2018). Lee, Kyoungjae ; Dass, Sarat C.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:127:y:2018:i:c:p:116-134.

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  16. Walk on the wild side: Multiplicative sunspots and temporarily unstable paths. (2018). Bonomolo, Paolo ; Ascari, Guido ; Lopes, Hedibert.
    In: DNB Working Papers.
    RePEc:dnb:dnbwpp:597.

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  17. Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility. (2018). Nason, James ; Mertens, Elmar.
    In: BIS Working Papers.
    RePEc:bis:biswps:713.

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  18. A Bayesian GED-Gamma stochastic volatility model for return data: a marginal likelihood approach. (2018). Santos, T R.
    In: Papers.
    RePEc:arx:papers:1809.01489.

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  19. Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation. (2018). Schlogl, Erik ; Gellert, Karol.
    In: Papers.
    RePEc:arx:papers:1806.05387.

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  20. Fast smoothing in switching approximations of non-linear and non-Gaussian models. (2017). Gorynin, Ivan ; Pieczynski, Wojciech ; Monfrini, Emmanuel ; Derrode, Stephane .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:114:y:2017:i:c:p:38-46.

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  21. Volatility Forecasts Using Nonlinear Leverage Effects. (2017). Nakatsuma, Teruo ; McAlinn, Kenichiro ; Ushio, Asahi .
    In: Papers.
    RePEc:arx:papers:1605.06482.

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  22. Time-varying forecasts by variational approximation of sequential Bayesian inference. (2016). Stone, Douglas B ; Ling, Hui Fox .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:16:y:2016:i:1:p:43-67.

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  23. Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads. (2015). Fabozzi, Frank ; Bianchi, Michele.
    In: Computational Economics.
    RePEc:kap:compec:v:46:y:2015:i:2:p:243-273.

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  24. Industry based equity premium forecasts. (2015). Silva, Nuno Miguel Barateiro.
    In: GEMF Working Papers.
    RePEc:gmf:wpaper:2015-19..

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  25. Industry based equity premium forecasts. (2015). Silva, Nuno.
    In: GEMF Working Papers.
    RePEc:gmf:wpaper:2015-19.

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  26. Bayesian Estimation of Time-Changed Default Intensity Models. (2015). Gordy, Michael ; Szerszen, Pawel J..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2015-02.

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  27. Estimating the price impact of trades in a high-frequency microstructure model with jumps. (2015). Jondeau, Eric ; Rockinger, Michael ; Lahaye, Jerome .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:s2:p:s205-s224.

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  28. MIDAS regressions with time-varying parameters: An application to corporate bond spreads and GDP in the Euro area. (2014). Schumacher, Christian.
    In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
    RePEc:zbw:vfsc14:100289.

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  29. Particle learning for Bayesian non-parametric Markov Switching Stochastic Volatility model. (2014). Galeano, Pedro ; Virbickaite, Audrone ; Lopes, Hedibert F. ; Ausin, Concepcion .
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws142819.

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  30. Spillovers in Exchange Rates and the Effects of Global Shocks on Emerging Market Currencies. (2014). Kotze, Kevin ; Kavli, Haakon .
    In: South African Journal of Economics.
    RePEc:bla:sajeco:v:82:y:2014:i:2:p:209-238.

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  31. Signal Diffusion Mapping: Optimal Forecasting with Time Varying Lags. (2014). McGroarty, Frank ; Tiropanis, Thanassis.
    In: Papers.
    RePEc:arx:papers:1409.6443.

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