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Bayesian covariance matrix estimation using a mixture of decomposable graphical models

Armstrong, Helen; Carter, Chris K.; Wong, Kevin; Kohn, … - 2007

Persistent link: https://www.econbiz.de/10003431594

Bayesian Estimation of Epidemiological Models : Methods, Causality, and Policy Trade-Offs

Arias, Jonas; Fernández-Villaverde, Jesús; … - 2021

We present a general framework for Bayesian estimation and causality assessment in epidemiological models. The key to our approach is the use of sequential Monte Carlo methods to evaluate the likelihood of a generic epidemiological model. Once we have the likelihood, we specify priors and rely...

Persistent link: https://www.econbiz.de/10013235115

Bayesian estimation of epidemiological models : methods, causality, and policy trade-offs

Arias, Jonas E.; Fernández-Villaverde, Jesús; … - 2021

We present a general framework for Bayesian estimation and causality assessment in epidemiological models. The key to our approach is the use of sequential Monte Carlo methods to evaluate the likelihood of a generic epidemiological model. Once we have the likelihood, we specify priors and rely...

Persistent link: https://www.econbiz.de/10012494833

Bayesian variance changepoint detection in linear models with symmetric heavy-tailed errors

Kang, Shuaimin; Liu, Guangying; Qi, Howard; Wang, Min - In: Computational economics 52 (2018) 2, pp. 459-477

Persistent link: https://www.econbiz.de/10012052960

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

Gribisch, Bastian; Hartkopf, Jan Patrick - In: Journal of econometrics 235 (2023) 1, pp. 43-64

Persistent link: https://www.econbiz.de/10014434377

Bayesian estimation of unknown heteroscedastic variances

Chigira, Hiroaki (contributor); Shiba, Tsunemasa (contributor) - 2006

Persistent link: https://www.econbiz.de/10003370963

A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns

Peluso, Stefano; Corsi, Fulvio; Mira, Antonietta - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 665-697

Persistent link: https://www.econbiz.de/10011339256

Covariance matrix estimation via network structure

Lan, Wei; Fang, Zheng; Wang, Hansheng; Tsai, Chih-Ling - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 359-369

Persistent link: https://www.econbiz.de/10011895079

Risk of Bayesian infernece in misspecified models, and the sandwich covariance matrix

Müller, Ulrich K. - In: Econometrica : journal of the Econometric Society, an … 81 (2013) 5, pp. 1805-1849

Persistent link: https://www.econbiz.de/10010230633

Estimating stochastic volatility and jumps using high-frequency data and Bayesian methods

Fičura, Milan; Witzany, Jiří - In: Finance a úvěr 66 (2016) 4, pp. 278-301

Persistent link: https://www.econbiz.de/10011532802

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