Search Results - subject:"importance sampling."

Efficient Bayesian Estimation and Combination of GARCH-Type Models

Ardia, David; Hoogerheide, Lennart F. - Tinbergen Institute - 2010

used in importance sampling for model estimation, model selection and model combination. The procedure is fully automatic …

Persistent link: https://www.econbiz.de/10008838590

Dynamic Entry with Cross Product Spillovers: An Application to the Generic Drug Industry

Hong, Han; Khwaja, Ahmed; Gallant, A. Ronald - Duke University, Department of Economics - 2010

challenge of estimating such a model using a sequential importance sampling based technique. Our estimates show significant …

Persistent link: https://www.econbiz.de/10008764960

Asymmetry and Long Memory in Volatility Modelling

Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - Institute of Economic Research, Kyoto University - 2010

, and use the Efficient Importance Sampling technique to estimate the model. As an empirical example, we apply the new model …

Persistent link: https://www.econbiz.de/10008671919

Alternative Asymmetric Stochastic Volatility Models

Asai, Manabu; McAleer, Michael - Institute of Economic Research, Kyoto University - 2010

between the innovations in returns and volatility. The new model is estimated by the efficient importance sampling method of …

Persistent link: https://www.econbiz.de/10008725779

Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time

Kleppe, Tore Selland; Yu, Jun; Skaug, Hans J. - School of Economics, Singapore Management University - 2010

A new algorithm is developed to provide a simulated maximum likelihood estimation of the GARCH diffusion model of Nelson (1990) based on return data only. The method combines two accurate approximation procedures, namely, the polynomial expansion of Aït-Sahalia (2008) to approximate the...

Persistent link: https://www.econbiz.de/10008725923

Simulating copula-based distributions and estimating tail probabilities by means of Adaptive Importance Sampling

Bee, Marco - Dipartimento di Economia e Management, Università … - 2010

multivariate extreme value theory. In this paper we use a recently proposed generalization of Importance Sampling, called Adaptive … Importance Sampling, for simulating copula-based distributions and computing tail probabilities. Unlike existing methods for …

Persistent link: https://www.econbiz.de/10008515834

Efficient Bayesian Estimation and Combination of GARCH-Type Models

Ardia, David; Hoogerheide, Lennart F. - Tinbergen Instituut - 2010

the posterior density of the model parameters. This density is then used in importance sampling for model estimation …

Persistent link: https://www.econbiz.de/10011255484

A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood

Ardia, David; Basturk, Nalan; Hoogerheide, Lennart; … - Tinbergen Instituut - 2010

appropriately yet quickly tuned adaptive candidate, straightforward importance sampling provides a computationally efficient …

Persistent link: https://www.econbiz.de/10011255693

Efficient Bayesian estimation and combination of GARCH-type models

Ardia, David; Hoogerheide, Lennart F. - 2010 - This version: January 22, 2010

used in importance sampling for model estimation, model selection and model combination. The procedure is fully automatic …

Persistent link: https://www.econbiz.de/10011380465

A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihoods

Ardia, David; Basturk, Nalan; Hoogerheide, Lennart; … - 2010

quickly tuned adaptive candidate, straightforward importance sampling provides a computationally efficient estimator of the …

Persistent link: https://www.econbiz.de/10011380802