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Martin, Gael M.; McCabe, Brendan Peter Martin; … - 2014

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Auxiliary likelihood-based approximate Bayesian computation in state space models

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An alternative Bayesian approach to structural breaks in time series models

Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick van - 2011

We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...

Persistent link: https://www.econbiz.de/10011383033

Inversion copulas from nonlinear state space models with an application to inflation forecasting

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Bayesian approach to Lorenz curve using time series grouped data

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Modeling realized covariance measures with heterogeneous liquidity : a generalized matrix-variate Wishart state-space model

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Large time-varying parameter VARs

Koop, Gary; Korobilis, Dimitris - In: Journal of econometrics 177 (2013) 2, pp. 185-198

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The contribution of economic fundamentals to movements in exchange rates

Balke, Nathan S.; Ma, Jun; Wohar, Mark E. - In: Journal of international economics 90 (2013) 1, pp. 1-16

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