Publication: Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter
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Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter

- Article in a journal -
 

Author(s)
R. Meyer , D. A. Fournier , A. Berg

Published in
Econometrics Journal

Year
2003

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BibTeX
@ARTICLE{
         Meyer2003SvB,
       title = "Stochastic volatility: {B}ayesian computation using automatic differentiation and the
         extended {K}alman filter",
       journal = "Econometrics Journal",
       pages = "408--420",
       author = "R. Meyer and D. A. Fournier and A. Berg",
       volume = "6",
       number = "2",
       year = "2003",
       ad_tools = "AD Model Builder"
}


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