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~person:"Dijk, Herman K. van"
~source:"repec"
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Search: subject:"GARCH"
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GARCH
6
Bayesian decision making
4
Expectation Maximization
4
econometric modelling
4
exchange rates
4
risk management
4
stochastic volatility
4
Kullback-Leibler divergence
3
Metropolis-Hastings algorithm
3
importance sampling
3
mixture of Student-t distributions
3
DCC GARCH
2
Markov chain Monte Carlo
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Value at Risk
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Value-at-Risk
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forward contracts
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ill-behaved posterior
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mixture GARCH models
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polar coordinates
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predictive likelihoods
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simulation
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Importance sampling
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Instrumental variables
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Kullback–Leibler divergence
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Metropolis–Hastings algorithm
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Mixture GARCH
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Mixture of Student-t distributions
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Dijk, Herman K. van
McAleer, Michael
53
Chang, Chia-Lin
28
Teräsvirta, Timo
25
Guesmi, Khaled
23
Nguyen, Duc Khuong
23
Guegan, Dominique
22
Mittnik, Stefan
20
Tansuchat, Roengchai
19
Francq, Christian
18
Ardia, David
17
Fountas, Stilianos
17
Karanasos, Menelaos
16
Rombouts, Jeroen V.K.
16
Haas, Markus
15
Hafner, Christian M.
15
Bauwens, Luc
14
Zakoian, Jean-Michel
14
Caporale, Guglielmo Maria
13
Conrad, Christian
13
Chevallier, Julien
12
McAleer, M.J.
12
Sévi, Benoît
12
Christoffersen, Peter
11
Herwartz, Helmut
11
Hoogerheide, Lennart F.
11
Lazar, Emese
11
Manera, Matteo
11
Silvennoinen, Annastiina
11
Stentoft, Lars
11
Caporin, Massimiliano
10
Chen, Cathy W.S.
10
Jacobs, Kris
10
Paolella, Marc S.
10
Selmi, Refk
10
Spagnolo, Nicola
10
BAUWENS, Luc
9
Bohl, Martin T.
9
Bouoiyour, Jamal
9
Chorro, Christophe
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Tinbergen Instituut
5
Tinbergen Institute
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Tinbergen Institute Discussion Papers
9
Journal of Econometrics
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RePEc
ECONIS (ZBW)
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1
A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation
Hoogerheide, Lennart
;
Opschoor, Anne
;
Dijk, Herman K. van
-
Tinbergen Instituut
-
2012
burden in econometric models like DCC or mixture
GARCH
models and a mixture instrumental variables model. …
Persistent link: https://www.econbiz.de/10011257036
Saved in:
2
A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
Hoogerheide, Lennart
;
Opschoor, Anne
;
Dijk, Herman K. van
- In:
Journal of Econometrics
171
(
2012
)
2
,
pp. 101-120
computational burden in econometric models like DCC or mixture
GARCH
models and a mixture instrumental variables model. …
Persistent link: https://www.econbiz.de/10010588322
Saved in:
3
A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation
Hoogerheide, Lennart
;
Opschoor, Anne
;
Dijk, Herman K. van
-
Tinbergen Instituut
-
2011
A class of adaptive sampling methods is introduced for efficient posterior and predictive simulation. The proposed methods are robust in the sense that they can handle target distributions that exhibit non-elliptical shapes such as multimodality and skewness. The basic method makes use of...
Persistent link: https://www.econbiz.de/10011256336
Saved in:
4
A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation
Hoogerheide, Lennart
;
Opschoor, Anne
;
Dijk, Herman K. van
-
Tinbergen Institute
-
2011
A class of adaptive sampling methods is introduced for efficient posterior and predictive simulation. The proposed methods are robust in the sense that they can handle target distributions that exhibit non-elliptical shapes such as multimodality and skewness. The basic method makes use of...
Persistent link: https://www.econbiz.de/10008838540
Saved in:
5
Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.
;
Mahieu, Ronald J.
;
Dijk, Herman K. van
-
Tinbergen Instituut
-
2001
ofseveral modelcharacteristics (unit roots,
GARCH
, stochastic volatility, heavy taileddisturbance densities) areinvestigated in …
Persistent link: https://www.econbiz.de/10011256653
Saved in:
6
Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.
;
Mahieu, Ronald J.
;
Dijk, Herman K. van
-
Tinbergen Institute
-
2001
methods. The effects of several model characteristics (unit roots,
GARCH
, stochastic volatility, heavy tailed disturbance …
Persistent link: https://www.econbiz.de/10005137067
Saved in:
7
Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, Luc
;
Bos, Charles S.
;
Dijk, Herman K. van
-
Tinbergen Instituut
-
1999
applied within a Bayesian analysisof a
GARCH
-mixture model which is used for the evaluation of theValue-at-Risk of the return …
Persistent link: https://www.econbiz.de/10011256462
Saved in:
8
Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.
;
Mahieu, Ronald J.
;
Dijk, Herman K. van
-
Tinbergen Instituut
-
1999
. The effects of several model characteristics(unit roots,
GARCH
, stochastic volatility, heavy tailed disturbancedensities …
Persistent link: https://www.econbiz.de/10011257188
Saved in:
9
Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.
;
Mahieu, Ronald J.
;
Dijk, Herman K. van
-
Tinbergen Institute
-
1999
Carlo methods. The effects of several model characteristics (unit roots,
GARCH
, stochastic volatility, heavy tailed …
Persistent link: https://www.econbiz.de/10005137117
Saved in:
10
Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, Luc
;
Bos, Charles S.
;
Dijk, Herman K. van
-
Tinbergen Institute
-
1999
parsimony and robustness. APS is applied within a Bayesian analysis of a
GARCH
-mixture model which is used for the evaluation of …
Persistent link: https://www.econbiz.de/10005137171
Saved in:
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