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Bayesian Estimation of Generalized Hyperbolic Skewed Student GARCH Models

Deschamps, Philippe J. - 2012

variables that account for skewness and heavy tails are identically and independently distributed. The second model, ODLV …

Persistent link: https://www.econbiz.de/10013105412

Fitting a distribution to survey data for the half-life of deviations from PPP

Fisher, Mark - 2015

This note presents a nonparametric Bayesian approach to fitting a distribution to the survey data provided in Kilian and Zha (2002) regarding the prior for the half-life of deviations from purchasing power parity (PPP). A point mass at infinity is included. The unknown density is represented as...

Persistent link: https://www.econbiz.de/10011403123

Bayesian Inference in Multivariate Stable Distributions

Tsionas, Efthymios G. - 2013

characteristic functions are compared, and (ii) the estimation of the spectral measure through which the distributions are de ned in …

Persistent link: https://www.econbiz.de/10013087020

Estimation methods for non-homogeneous regression models : minimum continuous ranked probability score vs. maximum likelihood

Gebetsberger, Manuel; Messner, Jakob W.; Mayr, Georg. J.; … - 2017

calibrated forecasts compared to maximum likelihood estimation. From a theoretical perspective, both estimators are consistent …

Persistent link: https://www.econbiz.de/10011762435

Adaptive Bayesian estimation of mixed discrete-continuous distributions under smoothness and sparsity

Norets, Andriy; Pelenis, Justinas - 2018

We consider nonparametric estimation of a mixed discrete-continuous distribution under anisotropic smoothness … derive lower bounds on the estimation rates in the total variation distance. Next, we consider a nonparametric mixture of … normals models can be used for optimal adaptive estimation of mixed discretecontinuous distributions. …

Persistent link: https://www.econbiz.de/10011895828

Financial Risk Management with Bayesian Estimation of GARCH Models : Theory and Applications

Ardia, David - 2009

This book presents in detail methodologies for the Bayesian estimation of single-regime and regime-switching GARCH … attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements … the Bayesian paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal …

Persistent link: https://www.econbiz.de/10013156202

Moments of standardized Fernandez-Steel skewed distributions : applications to the estimation of GARCH-type models

Trottier, Denis-Alexandre; Ardia, David - In: Finance research letters 18 (2016), pp. 311-316

Persistent link: https://www.econbiz.de/10011657263

Modeling Dependence Using Skew T Copulas : Bayesian Inference and Applications

Smith, Michael S. - 2010

We construct a copula from the skew t distribution of Sahu, Dey & Branco (2003). This copula can capture asymmetric and extreme dependence between variables, and is one of the few copulas that can do so and still be used in high dimensions effectively. However, it is difficult to estimate the...

Persistent link: https://www.econbiz.de/10013145057

Estimation of DSGE models : maximum likelihood vs. Bayesian methods

Mickelsson, Glenn - 2015

DSGE models are typically estimated using Bayesian methods, but a researcher may want to estimate a DSGE model with full information maximum likelihood (FIML) so as to avoid the use of prior distributions. A very robust algorithm is needed to find the global maximum within the relevant parameter...

Persistent link: https://www.econbiz.de/10011407664

Joint Bayesian analysis of parameters and states in nonlinear, non-Gaussian state space models

Barra, István; Hoogerheide, Lennart; Koopman, Siem Jan; … - 2014

We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear non-Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when these proposal densities are used in an independent...

Persistent link: https://www.econbiz.de/10010399681