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Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices
Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - 2014
implicit statistical arbitrage method. We use a simulation-based Bayesian procedure for predicting stable ratios, defined in a …
Persistent link: https://www.econbiz.de/10010259626
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Bayesian analysis of instrumental variable models : the potential of direct Monte Carlo
Zellner, Arnold; Ando, Tomohiro; Basturk, Nalan; … - 2012
Persistent link: https://www.econbiz.de/10010191002
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Joint independent metropolis-hastings methods for nonlinear non-Gaussian state space models
Barra, Istvan; Hoogerheide, Lennart; Koopman, Siem Jan; … - 2013
Persistent link: https://www.econbiz.de/10010191411
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Combining predictive densities using nonlinear filtering with applications to US economics data
Billo, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - 2011
Persistent link: https://www.econbiz.de/10009720705
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Combinations schemes for turning points predictions
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - 2011
Persistent link: https://www.econbiz.de/10009720757
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Bayesian analysis of instrumental variable models : acceptance-rejection within direct Monte Carlo
Zellner, Arnold; Ando, Tomohiro; Baştürk, Nalan; … - 2012
Persistent link: https://www.econbiz.de/10009722969
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Time-varying combinations of predictive densities using nonlinear filtering
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - 2012
Persistent link: https://www.econbiz.de/10009724346
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Censored posterior and predictive likelihood in Bayesian left-tail prediction for accurate value at risk estimation
Gatarek, Lukasz; Hoogerheide, Lennart; Hooning, Koen; … - 2013
Persistent link: https://www.econbiz.de/10009756308
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Parallel sequential Monto Carlo for efficient density combination : the deco matlab toolbox
Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2013
Persistent link: https://www.econbiz.de/10009756320
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Joint Bayesian analysis of parameters and states in nonlinear, non-Gaussian state space models
Barra, István; Hoogerheide, Lennart; Koopman, Siem Jan; … - 2014
simulation evidence for stochastic volatility and stochastic intensity models. For our empirical study, we analyse the …
Persistent link: https://www.econbiz.de/10010399681