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Bayesian inference for the tangent portfolio

Bauder, David; Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema - In: International journal of theoretical and applied finance 21 (2018) 8, pp. 1-27

Persistent link: https://www.econbiz.de/10011970903

Bayesian estimation of the global minimum variance portfolio

Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema - In: European journal of operational research : EJOR 256 (2017) 1, pp. 292-307

Persistent link: https://www.econbiz.de/10011611271

Modelling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian disturbances

Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2021

Persistent link: https://www.econbiz.de/10012605022

Predicting returns and dividend growth : the role of non-Gaussian innovations

Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang - 2021

Persistent link: https://www.econbiz.de/10012605024

Modeling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian innovations

Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - In: Journal of forecasting 42 (2023) 2, pp. 347-368

Persistent link: https://www.econbiz.de/10014292181

VAR models with fat tails and dynamic asymmetry

Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2024

In this paper, we extend the standard Gaussian stochastic-volatility Bayesian VAR by employing the generalized hyperbolic skew Student's t distribution for the innovations. Allowing the skewness parameter to vary over time, our specification permits flexible modelling of innovations in terms of...

Persistent link: https://www.econbiz.de/10015084442

Predicting returns and dividend growth : the role of non-Gaussian innovations

Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang - In: Finance research letters 46 (2022) 1, pp. 1-7

Persistent link: https://www.econbiz.de/10013341435