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~person:"Hoogerheide, Lennart F."
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Bayes-Statistik
43
Bayesian inference
41
Theorie
24
Theory
22
Statistische Verteilung
19
Statistical distribution
16
ARCH-Modell
12
Forecasting model
11
GARCH
11
Prognoseverfahren
11
ARCH model
10
Bayesian
10
importance sampling
10
Monte Carlo simulation
9
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9
Sampling
9
Stichprobenerhebung
9
R software
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Data collection method
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Markov chain
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Markov-Kette
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Schätzung
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Algorithmus
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Estimation
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Neural networks
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Neuronale Netze
6
Simulation
6
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5
Bayesian model averaging
5
Capital income
5
Estimation theory
5
Kapitaleinkommen
5
Schätztheorie
5
adaptive mixture of Student-t distributions
5
marginal likelihood
5
Börsenkurs
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Markov Chain Monte Carlo
4
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17
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2
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English
45
Undetermined
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Author
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Hoogerheide, Lennart F.
Koop, Gary
241
Ravazzolo, Francesco
192
Dijk, Herman K. van
171
Schorfheide, Frank
142
Casarin, Roberto
141
Korobilis, Dimitris
112
Tsionas, Efthymios G.
103
Hoogerheide, Lennart
88
Marcellino, Massimiliano
87
Carriero, Andrea
86
Gupta, Rangan
78
Billio, Monica
77
Paap, Richard
75
Strachan, Rodney W.
74
Robert, Christian P.
69
Kaufmann, Sylvia
67
Canova, Fabio
66
Villani, Mattias
66
Havránek, Tomáš
65
Huber, Florian
65
Rady, Sven
65
Clark, Todd E.
63
Österholm, Pär
63
Del Negro, Marco
62
Bauwens, Luc
61
Leon-Gonzalez, Roberto
59
Bergemann, Dirk
58
Chan, Joshua
56
Morris, Stephen
55
Pettenuzzo, Davide
55
van Dijk, Herman K.
55
Grassi, Stefano
54
Kapetanios, George
54
Ewerhart, Christian
52
Yoshihara, Naoki
51
Feldkircher, Martin
50
Lang, Stefan
50
Ciccarelli, Matteo
48
Fernández-Villaverde, Jesús
47
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Tinbergen Instituut
4
Tinbergen Institute
3
Econometrisch Instituut <Rotterdam>
1
Forschungsbasierte Infrastruktureinrichtung "Sozio-oekonomisches Panel (SOEP)", DIW Berlin (Deutsches Institut für Wirtschaftsforschung)
1
Society for Computational Economics - SCE
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
1
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Discussion paper / Tinbergen Institute
10
Tinbergen Institute Discussion Papers
7
Econometric Institute research papers
5
Tinbergen Institute Discussion Paper
5
CORE discussion papers : DP
2
SOEPpapers on Multidisciplinary Panel Data Research
2
CORE Discussion Paper
1
Computing in Economics and Finance 2004
1
Economics Letters
1
Economics letters
1
Journal of econometrics
1
MPRA Paper
1
Norges Bank Working Paper 10/2017
1
Norges Bank Working Paper 11/17
1
Tinbergen Institute Discussion Paper 09-061/4
1
Tinbergen Institute Discussion Paper 13-060/III
1
Tinbergen Institute Discussion Paper 14-039/III
1
Tinbergen Institute Discussion Paper 14-118/III
1
Tinbergen Institute Discussion Paper 15-042/III
1
Tinbergen Institute Discussion Paper 16-099/III
1
Tinbergen Institute Discussion Paper 2018-063/III
1
Tinbergen Institute Discussion Paper 2019-018/III
1
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ECONIS (ZBW)
39
RePEc
11
EconStor
4
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1
Bayesian
Risk Forecasting for Long Horizons
Borowska, Agnieszka
-
2019
We present an accurate and efficient method for
Bayesian
forecasting of two financial risk measures, Value-at-Risk and … case, for which we provide counterparts of both
Bayesian
applications …
Persistent link: https://www.econbiz.de/10012891913
Saved in:
2
Bayesian
Estimation of the GARCH(1,1) Model with Student-t Innovations
Ardia, David
;
Hoogerheide, Lennart F.
-
2019
This paper presents the R package bayesGARCH which provides functions for the
Bayesian
estimation of the parsimonious …
Persistent link: https://www.econbiz.de/10014203852
Saved in:
3
Learning to Average Predictively Over Good and Bad : Comment on: Using Stacking to Average
Bayesian
Predictive Distributions
Hoogerheide, Lennart F.
-
2018
journal
Bayesian
Analysis to a setting where dynamic learning occurs about features of predictive densities of possibly …
Persistent link: https://www.econbiz.de/10012913233
Saved in:
4
The R Package Mitisem : Efficient and Robust Simulation Procedures for
Bayesian
Inference
Basturk, Nalan
-
2017
target distribution. The package enables
Bayesian
inference and prediction on model parameters and probabilities, in … candidate, as well as the Gibbs sampler. The MitISEM approach is also used for
Bayesian
model comparison using predictive …
Persistent link: https://www.econbiz.de/10012951941
Saved in:
5
Bayesian
Analysis of Boundary and Near-Boundary Evidence in Econometric Models with Reduced Rank
Basturk, Nalan
-
2017
. A
Bayesian
analysis is presented of the common issue in these models, which refers to the topic of a reduced rank. We … evaluated effectively. These results allow for
Bayesian
inference using mixtures of posteriors under the boundary state and the …
Persistent link: https://www.econbiz.de/10012953258
Saved in:
6
The R Package MitISEM : Efficient and Robust Simulation Procedures for
Bayesian
Inference
Basturk, Nalan
-
2017
target distribution. The package enables
Bayesian
inference and prediction on model parameters and probabilities, in … candidate, as well as the Gibbs sampler. The MitISEM approach is also used for
Bayesian
model comparison using predictive …
Persistent link: https://www.econbiz.de/10012971949
Saved in:
7
Stock Index Returns' Density Prediction Using GARCH Models : Frequentist or
Bayesian
Estimation?
Hoogerheide, Lennart F.
-
2017
provided between frequentist and
Bayesian
estimation. No significant difference is found between the qualities of the forecasts … of the whole density, whereas the
Bayesian
approach exhibits significantly better left-tail forecast accuracy …
Persistent link: https://www.econbiz.de/10012976219
Saved in:
8
Bayesian
Analysis of Boundary and Near-Boundary Evidence in Econometric Models with Reduced Rank
Basturk, Nalan
-
2017
. A
Bayesian
analysis is presented of the common issue in these models, which refers to the topic of a reduced rank … the boundary can be evaluated effectively. These results allow for
Bayesian
inference using mixtures of posteriors under …
Persistent link: https://www.econbiz.de/10012948259
Saved in:
9
Efficient
Bayesian
Estimation and Combination of GARCH-Type Models
Ardia, David
;
Hoogerheide, Lennart F.
-
2017
This chapter proposes an up-to-date review of estimation strategies available for the
Bayesian
inference of GARCH …
Persistent link: https://www.econbiz.de/10014198683
Saved in:
10
Time-Varying Combinations of
Bayesian
Dynamic Models and Equity Momentum Strategies
Basturk, Nalan
-
2016
dynamic factor and a vector autoregressive model and includes stochastic volatility, denoted by FAVAR-SV. Next, a
Bayesian
…
Persistent link: https://www.econbiz.de/10012979116
Saved in:
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