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On the Structural Stability of U.S. GDP
DeJong, David N.; Dharmarajan, Hariharan; Liesenfeld, Roman - Department of Economics, University of Pittsburgh - 2005
Persistent link: https://www.econbiz.de/10010616221
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Exploiting Non-Linearities in GDP Growth for Forecasting and Anticipating Regime Changes
DeJong, David N.; Dharmarajan, Hariharan; Liesenfeld, Roman - Department of Economics, University of Pittsburgh - 2008
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Persistent link: https://www.econbiz.de/10005220030
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Efficient Likelihood Evaluation in State-Space Representations
DeJong, David N.; Dharmarajan, Hariharan; Liesenfeld, Roman - Department of Economics, University of Pittsburgh - 2007
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Persistent link: https://www.econbiz.de/10005696171
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Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
Richard, Jean-Francois; Liesenfeld, Roman - Department of Economics, University of Pittsburgh - 2007
In this paper, Efficient Importance Sampling (EIS) is used to perform a classical and Bayesian analysis of univariate and multivariate Stochastic Volatility (SV) models for financial return series. EIS provides a highly generic and very accurate procedure for the Monte Carlo (MC) evaluation of...
Persistent link: https://www.econbiz.de/10005696207