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Markov chain Monte Carlo methods for stochastic volatility models
Chib, Siddhartha; Nardari, Federico; Shephard, Neil G. - In: Journal of econometrics 108 (2002) 2, pp. 281-316
Persistent link: https://www.econbiz.de/10001657610
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Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros; Titsias, Michalis K.; Petrova, Katerina - In: Journal of econometrics 232 (2023) 2, pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
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Tailored randomized block MCMC methods with application to DSGE models
Chib, Siddhartha; Ramamurthy, Srikanth - In: Journal of econometrics 155 (2010) 1, pp. 19-38
Persistent link: https://www.econbiz.de/10003965375
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Bayesian inference for nonlinear structural time series models
Hall, Jamie; Pitt, Michael K.; Kohn, Robert - In: Journal of econometrics 179 (2014) 2, pp. 99-111
Persistent link: https://www.econbiz.de/10010372659
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Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
Griffin, J. E.; Steel, Mark F. J. - In: Journal of econometrics 134 (2006) 2, pp. 605-644
Persistent link: https://www.econbiz.de/10003374347
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High dimensional dynamic stochastic copula models
Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345
Persistent link: https://www.econbiz.de/10011504544
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Large Bayesian VARMAs
Chan, Joshua; Eisenstat, Eric; Koop, Gary - In: Journal of econometrics 192 (2016) 2, pp. 374-390
Persistent link: https://www.econbiz.de/10011704723
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Particle efficient importance sampling
Scharth, Marcel; Kohn, Robert - In: Journal of econometrics 190 (2016) 1, pp. 133-147
Persistent link: https://www.econbiz.de/10011591626
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Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E. - In: Journal of econometrics 122 (2004) 1, pp. 185-212
Persistent link: https://www.econbiz.de/10002136532
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Threshold estimation of Markov models with jumps and interest rate modeling
Mancini, Cecilia; Renò, Roberto - In: Journal of econometrics 160 (2011) 1, pp. 77-92
Persistent link: https://www.econbiz.de/10009242541