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Displaying results 1 to 3 of 3.

  1. Sequential action and beliefs under partially observable DSGE environments
    Author: Kim, Seong-Hoon
    Published: 2011
    Publisher:  Centre for Dynamic Macroeconomic Analysis, St. Andrews

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    Keine Speicherung
    Inter-library loan:
    No inter-library loan
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper series / Centre for Dynamic Macroeconomic Analysis ; 11/16
    Subjects: DSGE; Partially Observable Markov Decision Process (POMDP); Observation Channel; Kalman filter
    Scope: Online-Ressource (PDF-Datei: 33 S.), graph. Darst.
  2. Monte Carlo maximum likelihood estimation for generalized long-memory time series models
    Author: Mesters, G.; Koopman, Siem Jan; Ooms, Marius
    Published: 2011

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 432 (2011,90)
    Inter-library loan:
    No inter-library loan
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/87519
    Series: Array ; 2011,090
    Subjects: Monte-Carlo-Simulation; Maximum-Likelihood-Schätzung; Zeitreihenanalyse; Theorie; Fractional integration; Importance sampling; Kalman filter; Latent factors; Stochastic volatility
    Scope: Online-Ressource (28 S.), graph. Darst.
  3. The analysis of stochastic volatility in the presence of daily realised measures
    Author: Koopman, Siem Jan; Scharth, Marcel
    Published: 2011

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 432 (2011,132)
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/87220
    Series: Array ; 2011,132
    Subjects: Kalman filter; Leverage; Realised volatility; Simulated maximum likelihood
    Scope: Online-Ressource (43 S.), graph. Darst.