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Bayesian inference for long memory stochastic volatility models

Chaim, Pedro; Laurini, Márcio Poletti - In: Econometrics : open access journal 12 (2024) 4, pp. 1-28

We explore the application of integrated nested Laplace approximations for the Bayesian estimation of stochastic …

Persistent link: https://www.econbiz.de/10015272743

Multivariate stochastic volatility modeling via integrated nested laplace approximations : a multifactor extension

Nacinben, João Pedro Coli de Souza Monteneri; Laurini, … - In: Econometrics : open access journal 12 (2024) 1, pp. 1-28

nested Laplace approximations (INLA) for estimation. Bayesian methods for estimating stochastic volatility models through …

Persistent link: https://www.econbiz.de/10014636390

Forecasting the term structure of interest rates using integrated nested Laplace approximations

Laurini, Márcio Poletti; Hotta, Luiz K. - In: Journal of forecasting 33 (2014) 3, pp. 214-230

Persistent link: https://www.econbiz.de/10010424830

A hybrid data cloning maximum likelihood estimator for stochastic volatility models

Laurini, Márcio Poletti - In: Journal of time series econometrics 5 (2013) 2, pp. 193-229

Persistent link: https://www.econbiz.de/10010225441

Bayesian Unit Root Testing in Stochastic Volatility Models Using INLA

Laurini, Márcio; Diniz, Márcio Alves - IBMEC Business School - Rio de Janeiro - 2012

This article discusses the use of Integrated Nested Laplace Approximations (INLA) in inference procedures and …

Persistent link: https://www.econbiz.de/10010843616

A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models

Laurini, Márcio - IBMEC Business School - Rio de Janeiro - 2012

.This estimator is constructed using a hybrid methodology based on Integrated Nested Laplace Approximations to calculate analytically … using Laplace Approximations. The results indicate that this data cloning methodology achieves superior results over methods …

Persistent link: https://www.econbiz.de/10010534904

Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations

Laurini, Márcio; Hotta, Luiz Koodi - IBMEC Business School - Rio de Janeiro - 2011

Integrated Nested Laplace Approximations (INLA). This method of analytical approximations allows for accurate inferences for …

Persistent link: https://www.econbiz.de/10008862994