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Simulation Based Bayesian Econometric Inference : Principles and Some Recent Computational Advances

Hoogerheide, Lennart F. - 2007

In this paper we discuss several aspects of simulation based Bayesian econometric inference. We start at an elementary … level on basic concepts of Bayesian analysis; evaluating integrals by simulation methods is a crucial ingredient in Bayesian … inference. Next, the most popular and well-known simulation techniques are discussed, the Metropolis-Hastings algorithm and …

Persistent link: https://www.econbiz.de/10012729891

Bayesian estimation of the false negative fraction in screening tests

Held, Leonhard (contributor); … - 2004

Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in terms of the Value-at-Risk, the multivariate normal model with linear correlation as its natural dependence measure is by no means an ideal model. We suggest a large class of...

Persistent link: https://www.econbiz.de/10002719909

Forecasting Time Series With Long Memory and Level Shifts : A Bayesian Approach

Di Sanzo, Silvio - 2007

Recent studies have showed that it is troublesome, in practice, to distinguish between long memory and nonlinear processes. Therefore, it is of obvious interest to try to capture both features of long memory and non-linearity into a single time series model to be able to assess their relative...

Persistent link: https://www.econbiz.de/10014050821

Efficient Bayesian Estimation and Combination of GARCH-Type Models

Ardia, David; Hoogerheide, Lennart F. - 2017

This chapter proposes an up-to-date review of estimation strategies available for the Bayesian inference of GARCH-type models. The emphasis is put on a novel efficient procedure named AdMitIS. The methodology automatically constructs a mixture of Student-t distributions as an approximation to...

Persistent link: https://www.econbiz.de/10014198683

Bayesian Estimation of the Multi-Factor Heston Stochastic Volatility Model

Fruhwirth-Schnatter, Sylvia; Sögner, Leopold - 2014

The goal of this article is an exact Bayesian analysis of the Heston (1993) stochastic volatility model. We carefully study the effect different parameterizations of the latent volatility process and the parameters of the volatility process have on the convergence and the mixing behavior of the...

Persistent link: https://www.econbiz.de/10014221761

Comparing Dynamic Equilibrium Economies to Data

Fernández-Villaverde, Jesús; Rubio-Ramírez, Juan … - 2002

This paper studies the properties of the Bayesian approach to estimation and comparison of dynamic equilibrium economies. Both tasks can be performed even if the models are nonnested, misspecified, and nonlinear. First, the authors show that Bayesian methods have a classical interpretation:...

Persistent link: https://www.econbiz.de/10014122702

Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods

Fičura, Milan - 2015

We are comparing two approaches for stochastic volatility and jumps estimation in the EUR/USD time series - the non-parametric power-variation approach using high-frequency returns, and the parametric Bayesian approach (MCMC estimation of SVJD models) using daily returns. We find that both of...

Persistent link: https://www.econbiz.de/10013030080

Comparing Dynamic Equilibrium Economies to Data : A Bayesian Approach

Fernández-Villaverde, Jesús - 2015

This paper studies the properties of the Bayesian approach to estimation and comparison of dynamic equilibrium economies. Both tasks can be performed even if the models are nonnested, misspecified, and nonlinear. First, we show that Bayesian methods have a classical interpretation:...

Persistent link: https://www.econbiz.de/10013032688

Estimation of SVJD Models with Bayesian Methods and Power-Variation Estimators

Fičura, Milan - 2018

Methodology is proposed of how to utilize high-frequency power-variation estimators in the Bayesian estimation of Stochastic-Volatility Jump-Diffusion (SVJD) models. Realized variance is used as an additional source of information for the estimation of stochastic variances, while the Z-Estimator...

Persistent link: https://www.econbiz.de/10012914862

Bayesian Estimation of an Extended Local Scale Stochastic Volatility Model

Deschamps, Philippe J. - 2011

Bayesian posterior simulator and a new simulation smoother are presented. The model is applied to publicly available daily …

Persistent link: https://www.econbiz.de/10013120871