references.bib

@BOOK{Bauwens1999,
  title = {{Bayesian inference in dynamic econometric models}},
  publisher = {Oxford University Press, USA},
  year = {1999},
  author = {Bauwens, Luc and Lubrano, Michel and Richard, J.F.}
}

@article{lenza2022estimate,
  title={How to estimate a vector autoregression after March 2020},
  author={Lenza, Michele and Primiceri, Giorgio E},
  journal={Journal of Applied Econometrics},
  volume={37},
  number={4},
  pages={688--699},
  year={2022},
  publisher={Wiley Online Library}
}

@article{omori2007stochastic,
	title={Stochastic Volatility with Leverage: Fast and Efficient Likelihood Inference},
	author={Omori, Yasuhiro and Chib, Siddhartha and Shephard, Neil and Nakajima, Jouchi},
	journal={Journal of Econometrics},
	volume={140},
	number={2},
	pages={425--449},
	year={2007},
	publisher={Elsevier}
}

@article{chan2009efficient,
	title={Efficient Simulation and Integrated Likelihood Estimation in State Space Models},
	author={Chan, Joshua and Jeliazkov, Ivan},
	journal={International Journal of Mathematical Modelling and Numerical Optimisation},
	volume={1},
	pages={101--120},
	year={2009}
}


@misc{wood2020mgcv,
  title={mgcv: Mixed GAM Computation Vehicle with Automatic Smoothness Estimation (1.8-33)[Computer software]},
  author={Wood, S},
  year={2020}
}