Sequential Gibbs Particle Filter Algorithm with Applications to Stochastic Volatility and Jumps Estimation
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61384399%3A31110%2F19%3A00054417" target="_blank" >RIV/61384399:31110/19:00054417 - isvavai.cz</a>
Result on the web
<a href="http://journal.fsv.cuni.cz/storage/1447_463_488_witzany_final_issue_5_2019.pdf" target="_blank" >http://journal.fsv.cuni.cz/storage/1447_463_488_witzany_final_issue_5_2019.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Sequential Gibbs Particle Filter Algorithm with Applications to Stochastic Volatility and Jumps Estimation
Original language description
Main topics of the document: Bayesian methods; particle filters; stochastic volatility; jumps
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50602 - Public administration
Result continuities
Project
<a href="/en/project/GA18-05244S" target="_blank" >GA18-05244S: Innovative Approaches to Credit Risk Management</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Finance a úvěr - Czech Journal of Economics and Finance
ISSN
0015-1920
e-ISSN
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Volume of the periodical
69
Issue of the periodical within the volume
5
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
26
Pages from-to
463-488
UT code for WoS article
000496984700003
EID of the result in the Scopus database
2-s2.0-85075274969