Search Results - subject:"Bayesian approaches"

Realized volatility forecast of financial futures using time-varying HAR latent factor models

Luo, Jiawen; Chen, Zhenbiao; Wang, Shengquan - In: Journal of management science and engineering 8 (2023) 2, pp. 214-243

We forecast realized volatilities by developing a time-varying heterogeneous autoregressive (HAR) latent factor model with dynamic model average (DMA) and dynamic model selection (DMS) approaches. The number of latent factors is determined using Chan and Grant's (2016) deviation information...

Persistent link: https://www.econbiz.de/10014315947

Random coefficient panel data models

Hsiao, Cheng; Pesaran, Mohammad Hashem - 2004

inference of a random coefficients formulation using both the sampling and Bayesian approaches. The paper also provides a review … coefficient models, dynamic heterogeneous panels, classical and Bayesian approaches, tests of slope heterogeneity, cross section …

Persistent link: https://www.econbiz.de/10010276164

Random Coefficient Panel Data Models

Hsiao, Cheng; Pesaran, Mohammad Hashem - 2004

inference of a random coefficients formulation using both the sampling and Bayesian approaches. The paper also provides a review …

Persistent link: https://www.econbiz.de/10010276181

Random Coefficient Panel Data Models

Hsiao, Cheng; Pesaran, M. Hashem - Institute of Economic Policy Research (IEPR), … - 2004

inference of a random coe.cients formulation using both the sampling and Bayesian approaches. The paper also provides a review …

Persistent link: https://www.econbiz.de/10005537365

Random Coefficient Panel Data Models

Hsiao, Cheng; Pesaran, M. Hashem - CESifo - 2004

inference of a random coefficients formulation using both the sampling and Bayesian approaches. The paper also provides a review …

Persistent link: https://www.econbiz.de/10005765900

‘Random Coefficient Panel Data Models’

Hsiao, C.; Pesaran, M.H. - Faculty of Economics, University of Cambridge - 2004

inference of a random coefficients formulation using both the sampling and Bayesian approaches. The paper also provides a review …

Persistent link: https://www.econbiz.de/10005113805

Random coefficient panel data models

Hsiao, Cheng; Pesaran, M. Hashem - 2004

Persistent link: https://www.econbiz.de/10011449962

Bayesian and classical approaches to instrumental variable regression

Kleibergen, F.R.; Zivot, E. - Erasmus University Rotterdam, Econometric Institute - 1998

We establish the relationships between certain Bayesian and classical approaches to instrumental variable regression. We determine the form of priors that lead to posteriors for structural parameters that have similar properties as classical 2SLS and LIML and in doing so provide some new insight...

Persistent link: https://www.econbiz.de/10004964471