Narrow search
Showing 1 - 10 of 11
Cover Image
Random scaling factors in Bayesian distributional regression models with an application to real estate data
Razen, Alexander; Lang, Stefan - 2016
Monte Carlo (MCMC) algorithms. We investigate the statistical properties of our approach within extensive simulation …
Persistent link: https://www.econbiz.de/10011622777
Cover Image
Estimation of spatially correlated random scaling factors based on Markov random field priors
Razen, Alexander; Lang, Stefan; Santer, Judith - 2016
Carlo (MCMC) algorithms and is smoothly incorporated into the framework of distributional regression. We run a comprehensive …
Persistent link: https://www.econbiz.de/10011622779
Cover Image
Statistical risk analysis for real estate collateral valuation using Bayesian distributional and quantile regression
Razen, Alexander; Brunauer, Wolgang; Klein, Nadja; … - 2014
The Basel II framework strictly defines the conditions under which financial institutions are authorized to accept real estate as collateral in order to decrease their credit risk. A widely used concept for its valuation is the hedonic approach. It assumes, that a property can be characterized...
Persistent link: https://www.econbiz.de/10010397175
Cover Image
Statistical risk analysis for real estate collateral valuation using Bayesian distributional and quantile regression
Razen, Alexander; Brunauer, Wolgang; Klein, Nadja; … - 2014
The Basel II framework strictly defines the conditions under which financial institutions are authorized to accept real estate as collateral in order to decrease their credit risk. A widely used concept for its valuation is the hedonic approach. It assumes, that a property can be characterized...
Persistent link: https://www.econbiz.de/10010354740
Cover Image
Random scaling factors in Bayesian distributional regression models with an application to real estate data
Razen, Alexander; Lang, Stefan - 2016
Monte Carlo (MCMC) algorithms. We investigate the statistical properties of our approach within extensive simulation …
Persistent link: https://www.econbiz.de/10011549047
Cover Image
Estimation of spatially correlated random scaling factors based on Markov random field priors
Razen, Alexander; Lang, Stefan; Santer, Judith - 2016
Carlo (MCMC) algorithms and is smoothly incorporated into the framework of distributional regression. We run a comprehensive …
Persistent link: https://www.econbiz.de/10011578941
Cover Image
Long memory and nonlinearities in realized volatility : a Markov switching approach
Bordignon, Silvano; Raggi, Davide - 2010
through a Markov switching dynamics. We consider an efficient Markov chain Monte Carlo (MCMC) algorithm to estimate parameters …
Persistent link: https://www.econbiz.de/10011739849
Cover Image
Fitting and comparing stochastic volatility models through Monte Carlo simulations
Bordignon, Silvano; Raggi, Davide - Society for Computational Economics - SCE - 2004
given point is estimated through a sequence of reduced runs of the MCMC algorithm, which is a particular case of a bridge …
Persistent link: https://www.econbiz.de/10005345362
Cover Image
Volatility, Jumps, and Predictability of Returns: A Sequential Analysis
Raggi, Davide; Bordignon, Silvano - In: Econometric Reviews 30 (2011) 6, pp. 669-695
algorithm mixed together with the Markov Chain Monte Carlo (MCMC) methodology. Adding an MCMC step to the auxiliary particle … algorithm. A numerical comparison with a full MCMC procedure is also provided. We also extend our methodology to superposition …
Persistent link: https://www.econbiz.de/10009207147
Cover Image
Long memory and nonlinearities in realized volatility: A Markov switching approach
Raggi, Davide; Bordignon, Silvano - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3730-3742
. Inference is based on an efficient Markov chain Monte Carlo (MCMC) algorithm that is used to estimate parameters, latent process …
Persistent link: https://www.econbiz.de/10010617661