Jeremy Heng

affiliation not provided to SSRN

SCHOLARLY PAPERS

2

DOWNLOADS

184

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

Bayesian Estimation of Long-Run Risk Models Using Sequential Monte Carlo

Number of pages: 48 Posted: 06 May 2020 Last Revised: 24 Oct 2020
Andras Fulop, Jeremy Heng, Junye Li and Hening Liu
ESSEC Business School, affiliation not provided to SSRN, Fudan University - School of Management and University of Manchester - Alliance Manchester Business School
Downloads 145 (250,834)
Citation 3

Abstract:

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Asset Pricing, Long-Run Risk, Autoregressive Gamma Process, Log-linearization, Projection Methods, Particle Filters, Sequential Monte Carlo Sampler

2.

Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models

Number of pages: 69 Posted: 08 Jul 2021
Andras Fulop, Jeremy Heng and Junye Li
ESSEC Business School, affiliation not provided to SSRN and Fudan University - School of Management
Downloads 39 (527,233)

Abstract:

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Sequential Monte Carlo, Particle Filters, Approximate Dynamic Programming, Annealing, SMC^2, DSGE, Long-Run Risk