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Likelihood analysis of non-Gaussian parameter driven models. (1995). Shephard, Neil ; Pitt, Michael K.
In: Economics Papers.
RePEc:nuf:econwp:0015.

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Cited: 21

Citations received by this document

Cites: 62

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Cocites: 56

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  1. Improving MCMC Using Efficient Importance Sampling. (2006). Richard, Jean-Francois ; Liesenfeld, Roman .
    In: Economics Working Papers.
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  2. Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models. (2006). Martin, Gael ; Forbes, Catherine ; Strickland, Chris M.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2006-22.

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  3. Time Series of Count Data: Modelling and Estimation. (2005). Jung, Robert ; Kukuk, Martin ; Liesenfeld, Roman .
    In: Economics Working Papers.
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  4. A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk. (2005). Lucas, Andre ; Koopman, Siem Jan.
    In: DNB Working Papers.
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  5. Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models. (2004). Richard, Jean-Francois ; Liesenfeld, Roman .
    In: Economics Working Papers.
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  6. Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form. (2004). Shephard, Neil ; Bos, Charles.
    In: Economics Papers.
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  7. Bayesian Analysis of Continuous Time Models of the Australian Short Rate. (2004). Martin, Gael ; Sanford, Andrew D..
    In: Monash Econometrics and Business Statistics Working Papers.
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  8. Likelihood-based estimation and specification analysis of one- and two-factor SV models with leverage effects. (2004). Durham, Garland .
    In: Econometric Society 2004 North American Summer Meetings.
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  9. Estimation of Stochastic Volatility Models : An Approximation to the Nonlinear State Space. (2004). Shimada, Junji ; Tsukuda, Yoshihiko.
    In: Econometric Society 2004 Far Eastern Meetings.
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  10. Smooth Particle Filters for Likelihood Evaluation and Maximisation. (2002). Pitt, Michael K.
    In: The Warwick Economics Research Paper Series (TWERPS).
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  11. Testing the Assumptions Behind the Use of Importance Sampling. (2002). Shephard, Neil ; Koopman, Siem Jan.
    In: Economics Papers.
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  12. 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.
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  13. 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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  14. 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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  15. Dynamic paired comparison models with stochastic variances. (2001). Glickman, Mark E..
    In: Journal of Applied Statistics.
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  16. Computationally-intensive Econometrics using a Distributed Matrix-programming Language. (2001). Shephard, Neil ; Hendry, David ; Doornik, Jurgen.
    In: Economics Papers.
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  17. Computing Observation Weights for Signal Extraction and Filtering. (2000). Koopman, Siem Jan ; Harvey, Andrew.
    In: Econometric Society World Congress 2000 Contributed Papers.
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  18. BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time. (2000). Shephard, Neil ; Rydberg, Tina Hviid .
    In: Econometric Society World Congress 2000 Contributed Papers.
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  19. 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.
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  20. Filtering via simulation: auxiliary particle filters. (1997). Shephard, Neil ; Pitt, Michael K.
    In: Economics Papers.
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  21. Stochastic volatility: likelihood inference and comparison with ARCH models.. (1996). Shephard, Neil ; Chib, Siddhartha .
    In: Economics Papers.
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    RePEc:kap:atlecj:v:28:y:2000:i:2:p:186-195.

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  38. A multivariate latent factor decomposition of international bond yield spreads. (2000). pagan, adrian ; Martin, Vance ; Dungey, Mardi.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:15:y:2000:i:6:p:697-715.

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  39. Applications of geometric bounds to the convergence rate of Markov chains on. (2000). Yuen, Wai Kong .
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:87:y:2000:i:1:p:1-23.

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  40. The Distribution of Exchange Rate Volatility. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-059.

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  41. The Integration of Financial Markets and the Conduct of Monetary Policies: The Case of Canada and the United States. (1999). Normandin, Michel.
    In: Cahiers de recherche CREFE / CREFE Working Papers.
    RePEc:cre:crefwp:67.

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  42. Latent Variable Models for Stochastic Discount Factors. (1999). Renault, Eric ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:99s-47.

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  43. On the Geometrical Convergence of Gibbs Sampler inRd. (1998). Hwang, Chii-Ruey ; Sheu, Shuenn-Jyi.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:66:y:1998:i:1:p:22-37.

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  44. Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean. (1998). Ng, Serena.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:370.

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

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  46. The economics of conditional heteroskedasticity: Evidence from canadian and U.S. stock and futures markets. (1997). Ackert, Lucy.
    In: Atlantic Economic Journal.
    RePEc:kap:atlecj:v:25:y:1997:i:4:p:371-385.

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  47. One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -. (1996). Kaiser, Thomas .
    In: Econometrics.
    RePEc:wpa:wuwpem:9612007.

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  48. 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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  49. Markov chain convergence: From finite to infinite. (1996). Rosenthal, Jeffrey S..
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:62:y:1996:i:1:p:55-72.

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  50. Testing for Nonlinearities in Economic and Financial Time Series. (1995). Peat, Maurice ; Stevenson, Max .
    In: Working Paper Series.
    RePEc:uts:wpaper:48.

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  51. Likelihood analysis of non-Gaussian parameter driven models. (1995). Shephard, Neil ; Pitt, Michael K.
    In: Economics Papers.
    RePEc:nuf:econwp:0015.

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  52. The Predictive Ability of Several Models of Exchange Rate Volatility. (1994). West, Kenneth ; Cho, Dong Chul .
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0152.

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  53. On Periodic Autogressive Conditional Heteroskedasticity. (1994). Ghysels, Eric ; Bollerslev, Tim.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:94s-03.

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  54. Volatiltiy and Links Between National Stock Markets. (1990). Wadhwani, Sushil ; Sentana, Enrique ; King, Mervyn .
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  55. Stamp 5.0: A Review. (). Inoue, Atsushi ; Giorgianni, Lorenzo ; Diebold, Francis.
    In: Home Pages.
    RePEc:wop:pennhp:_058.

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