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Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation?
Hoogerheide, Lennart F.; Ardia, David; Corre, Nienke - Tinbergen Instituut - 2011
frequentist and Bayesian estimation. No significant difference is found between the qualities of the forecasts of the whole … density, whereas the Bayesian approach exhibits significantly better left-tail forecast accuracy. …
Persistent link: https://www.econbiz.de/10011256766
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Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
Ardia, David; Hoogerheide, Lennart F. - Tinbergen Instituut - 2010
This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the …
Persistent link: https://www.econbiz.de/10011256998
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Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation: the R Package AdMit
Ardia, David; Hoogerheide, Lennart F.; Dijk, Herman K. van - Tinbergen Instituut - 2008
distribution. The second shows the relevance of the adaptive mixture procedure through the Bayesian estimation of a mixture of ARCH …
Persistent link: https://www.econbiz.de/10011257456
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Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
Ardia, David; Hoogerheide, Lennart F. - Tinbergen Institute - 2010
This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the …
Persistent link: https://www.econbiz.de/10008838647
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Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
Ardia, David; Hoogerheide, Lennart F. - 2010
This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the …
Persistent link: https://www.econbiz.de/10010325986
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Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation
Ardia, David; Hoogerheide, Lennart F.; van Dijk, Herman K. - 2008
distribution. The second shows the relevance of the adaptive mixture procedure through the Bayesian estimation of a mixture of ARCH …
Persistent link: https://www.econbiz.de/10010326034
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Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation
Ardia, David; Hoogerheide, Lennart F.; Dijk, Herman K. van - Tinbergen Institute - 2008
distribution. The second shows the relevance of the adaptive mixture procedure through the Bayesian estimation of a mixture of ARCH …
Persistent link: https://www.econbiz.de/10005137315
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Adaptive mixture of student-t distributions as a flexible Candidate distribution for efficient simulation
Ardia, David; Hoogerheide, Lennart F.; Dijk, Herman K. van - 2008 - Version of this paper: December 12, 2008
distribution. The second shows the relevance of the adaptive mixture procedure through the Bayesian estimation of a mixture of ARCH …
Persistent link: https://www.econbiz.de/10011376537
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Bayesian estimation of the GARCH(1,1) model with student-t innovations
Ardia, David; Hoogerheide, Lennart F. - 2010
This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the …
Persistent link: https://www.econbiz.de/10011380176