We analyse the performance of a recursive Monte Carlo method for the Bayesian estimation of the static parameters of a discrete-time state-space Markov model. The algorithm employs two layers of ...

This is a preview. Log in through your library . Abstract Under the usual assumptions of normality, the recursive estimator known as the Kalman filter gives excellent results and has found an ...

The exponentially weighted moving average (EWMA) model is a particular modeling scheme, supported by RiskMetrics, that is capable of forecasting the current level of volatility of financial time ...