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Particle filters and Bayesian inference in financial econometrics

Lopes, Hedibert Freitas; Tsay, Ruey S. - In: Journal of forecasting 30 (2011) 1, pp. 168-209

Persistent link: https://www.econbiz.de/10009233910

Predictive likelihood for Bayesian model selection and averaging

Ando, Tomohiro; Tsay, Ruey S. - In: International journal of forecasting 26 (2010) 4, pp. 744-763

Persistent link: https://www.econbiz.de/10008807726

Parsimony inducing priors for large scale state-space models

Lopes, Hedibert Freitas; McCulloch, Robert E.; Tsay, Ruey S. - 2014

Persistent link: https://www.econbiz.de/10010440167

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

Parsimony inducing priors for large scale state-space models

Lopes, Hedibert Freitas; McCulloch, Robert E.; Tsay, Ruey S. - In: Journal of econometrics 230 (2022) 1, pp. 39-61

Persistent link: https://www.econbiz.de/10013441913

Bayesian Methods for Change-Point Detection in Long-Range Dependent Processes

Ray, Bonnie K.; Tsay, Ruey S. - 2003

We describe a Bayesian method for detecting structural changes in a long-range dependent process. In particular, we focus on changes in the long-range dependence parameter, d, and changes in the process level, p. Markov chain Monte Carlo (MCMC) methods are used to estimate the posterior...

Persistent link: https://www.econbiz.de/10014092992