Approximate conditional least squares estimation of a nonlinear state-space model via an unscented Kalman filter
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DOI: 10.1016/j.csda.2013.07.038
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Cited by:
- Camba-Méndez, Gonzalo & Serwa, Dobromił, 2016.
"Market perception of sovereign credit risk in the euro area during the financial crisis,"
The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 168-189.
- Camba-Méndez, Gonzalo & Serwa, Dobromil, 2014. "Market perception of sovereign credit risk in the euro area during the financial crisis," Working Paper Series 1710, European Central Bank.
- Gonzalo Camba-Méndez & Dobromił Serwa, 2014. "Market perception of sovereign credit risk in the euro area during the financial crisis," NBP Working Papers 185, Narodowy Bank Polski.
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Keywords
Nonlinear time series; SIR model; State-space model; Unscented Kalman filter;All these keywords.
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