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  • Search: subject:"Student's t Distribution"
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Year of publication
Subject
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Continuous distribution 82 Stetige Verteilung 82 Theorie 51 Theory 49 Statistische Verteilung 35 Statistical distribution 33 Volatility 25 Estimation 23 Schätzung 23 Student-t distribution 23 Volatilität 23 Forecasting model 22 Prognoseverfahren 22 ARCH model 17 ARCH-Modell 17 Risikomaß 15 Risk measure 15 Capital income 14 Kapitaleinkommen 14 Estimation theory 13 Schätztheorie 13 Bayesian inference 12 Stochastic process 11 Stochastischer Prozess 11 Bayes-Statistik 10 Student t distribution 10 Markov chain 9 Markov-Kette 9 Monte Carlo simulation 9 Monte-Carlo-Simulation 9 Stochastic volatility 9 State space model 7 USA 7 United States 7 Welt 7 World 7 Zeitreihenanalyse 7 Börsenkurs 6 Maximum likelihood estimation 6 Nichtparametrisches Verfahren 6
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Online availability
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Free 79 Undetermined 53
Type of publication
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Book / Working Paper 85 Article 84
Type of publication (narrower categories)
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Article in journal 52 Aufsatz in Zeitschrift 52 Graue Literatur 47 Non-commercial literature 47 Working Paper 45 Arbeitspapier 40 Hochschulschrift 8 Thesis 6 Aufsatz im Buch 5 Book section 5 Collection of articles written by one author 3 Sammlung 3 Article 2 Aufsatzsammlung 1 Collection of articles of several authors 1 Sammelwerk 1 research-article 1
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Language
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English 127 Undetermined 39 German 2 Spanish 1
Author
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Platen, Eckhard 8 Nadarajah, Saralees 7 Nguyen, Hoang 5 Borowiecki, Karol Jan 4 Creal, Drew 4 Dixon, Huw 4 Koopman, Siem Jan 4 Lucas, André 4 Mazur, Stepan 4 Racine, Jeffrey 4 Tian, Kun 4 Van Keilegom, Ingrid 4 Afuecheta, Emmanuel 3 Bassetti, Federico 3 Casarin, Roberto 3 Ganics, Gergely 3 Ignatieva, Katja 3 Jondeau, Eric 3 Karlsson, Sune 3 Kiss, Tamás 3 Lillestøl, Jostein 3 Marczak, Martyna 3 Mazzi, Gian Luigi 3 Proietti, Tommaso 3 Ravazzolo, Francesco 3 Rockinger, Michael 3 Rossi, Barbara 3 Sekhposyan, Tatevik 3 Sinding-Larsen, Richard 3 Österholm, Pär 3 Banerjee, Anirban 2 CRUZ, F. R. B. 2 Cerqueira, Vinícius dos Santos 2 Chib, Siddhartha 2 Dagsvik, John K. 2 Dobrev, Dobrislav 2 Dong, Christine 2 Fischer, Matthias J. 2 Growiec, Jakub 2 Jia, Zhiyang 2
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Institution
All
Finance Discipline Group, Business School 7 Institute of Economic Research, Hitotsubashi University 2 Swiss Finance Institute 2 Erasmus University Rotterdam, Econometric Institute 1 European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management 1 Fachbereich Wirtschaftswissenschaften, Universität Konstanz 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 Federal Reserve System / Division of Research and Statistics 1 Henley Business School, University of Reading 1 S. Hirzel Verlag <Stuttgart> 1 School of Economics and Political Science, Universität St. Gallen 1 Tinbergen Institute 1 Tinbergen Instituut 1 Trinity College Dublin / Department of Economics 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1 Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg 1
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Published in...
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Research Paper Series / Finance Discipline Group, Business School 7 Discussion paper / Department of Business and Management Science 4 Computational economics 3 Advances in Complex Systems (ACS) 2 Annals of operations research ; volume 254, numbers 1/2 (July 2017) 2 Applied economics 2 Asia-Pacific Financial Markets 2 Computational Economics 2 ECARES working paper 2 ECON PhD dissertations 2 FAME Research Paper Series 2 Global COE Hi-Stat Discussion Paper Series 2 International journal of central banking : IJCB 2 Journal of Multivariate Analysis 2 Journal of Risk and Financial Management 2 Journal of economic dynamics & control 2 Journal of forecasting 2 Journal of international financial markets, institutions & money 2 NHH Dept. of Business and Management Science Discussion Paper 2 Oxford bulletin of economics and statistics 2 Physica A: Statistical Mechanics and its Applications 2 Tinbergen Institute Discussion Papers 2 Working paper 2 American economic journal : a journal of the American Economic Association 1 American journal of agricultural economics 1 Applied financial economics 1 Asia-Pacific financial markets 1 Australian Journal of Management 1 Banco de Espana Working Paper 1 CESifo Working Paper Series 1 CESifo working papers 1 CREATES research paper 1 Cambridge working papers in economics 1 Cardiff economics working papers 1 Computational Statistics 1 Computational probability applications 1 Decision 1 Department of Economics working paper series / McMaster University, Department of Economics 1 Discussion Paper 1 Discussion Papers of Business and Economics, 13/2013, University of Southern Denmark 1
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Source
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ECONIS (ZBW) 115 RePEc 45 EconStor 7 BASE 1 Other ZBW resources 1
Showing 1 - 10 of 169
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Variational inference for Bayesian panel VAR models
Ter Steege, Lucas - 2024
which an exchangeable prior is placed on the dynamic parameters and the residuals follow either a Gaussian or a Student-t … distribution. This reduces the estimation time of possibly several hours using conventional MCMC methods to less than a minute …
Persistent link: https://www.econbiz.de/10015199536
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US interest rates: Are relations stable?
Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024
In this paper, we assess whether key relations between US interest rates have been stable over time. This is done by estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury bill rate, the slope of the Treasury yield curve...
Persistent link: https://www.econbiz.de/10014551600
Saved in:
Cover Image
Variational inference for Bayesian panel VAR models
Ter Steege, Lucas - 2024
which an exchangeable prior is placed on the dynamic parameters and the residuals follow either a Gaussian or a Student-t … distribution. This reduces the estimation time of possibly several hours using conventional MCMC methods to less than a minute …
Persistent link: https://www.econbiz.de/10015178498
Saved in:
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Forecasting tail risk of skewed financial returns having exponential-polynomial tails
Antwi, Albert; Gyamfi, Emmanuel Numapau; Adam, Anokye M. - In: Journal of forecasting 43 (2024) 7, pp. 2731-2748
Persistent link: https://www.econbiz.de/10015110551
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Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis
Afuecheta, Emmanuel; Okorie, Idika E.; Nadarajah, Saralees - In: Computational economics 63 (2024) 1, pp. 271-304
Persistent link: https://www.econbiz.de/10014472109
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Essays on semi-parametric modelling of time-varying probability distributions
Vallarino, Pierluigi - 2023
Persistent link: https://www.econbiz.de/10014431203
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Modeling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian innovations
Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - In: Journal of forecasting 42 (2023) 2, pp. 347-368
Persistent link: https://www.econbiz.de/10014292181
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Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian; Zakoïan, Jean-Michel - 2022
Persistent link: https://www.econbiz.de/10013162003
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Improving quantile forecasts via realized double hysteretic GARCH model in stock markets
Chen, Cathy W. S.; Chien, Cindy T. H. - In: Computational economics 64 (2024) 6, pp. 3447-3471
Persistent link: https://www.econbiz.de/10015144246
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Estimation of models for stock returns
Nadarajah, Saralees; Hitchen, Thomas - In: Computational economics 64 (2024) 6, pp. 3577-3616
Persistent link: https://www.econbiz.de/10015144254
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