Similar Search Results

A comparison of neural networks and Bayesian MCMC for the Heston model estimation (forget statistics – machine learning is sufficient!)

Witzany, Jiří; Fičura, Milan - 2023

Persistent link: https://www.econbiz.de/10014338462

A hybrid data cloning maximum likelihood estimator for stochastic volatility models

Laurini, Márcio Poletti - In: Journal of time series econometrics 5 (2013) 2, pp. 193-229

Persistent link: https://www.econbiz.de/10010225441

Empirical hierarchical modelling for count data using the spatial random effects model

Sengupta, Aritra; Cressie, Noel A. C. - In: Spatial economic analysis : the journal of the Regional … 8 (2013) 3, pp. 389-418

Persistent link: https://www.econbiz.de/10010202694

Semiparametric inference in dynamic binary choice models

Norets, A.; Tang, Xun - In: The review of economic studies 81 (2014) 3, pp. 1229-1262

Persistent link: https://www.econbiz.de/10010485916

Priors and Bayesian parameter estimation of affine term structure models

Sögner, Leopold - In: International journal of computational economics and … 4 (2014) 3/4, pp. 288-319

Persistent link: https://www.econbiz.de/10010496421

A Bayesian encompassing test using combined value-at-risk estimates

Tsiotas, Georgios - In: Quantitative finance 18 (2018) 3, pp. 395-417

Persistent link: https://www.econbiz.de/10011906387

Bayesian estimation of Gegenbauer long memory processes with stochastic volatility : methods and applications

Phillip, Andrew; Chan, Jennifer S. K.; Peiris, Shelton - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 3, pp. 1-29

Persistent link: https://www.econbiz.de/10011897536

Estimation of spatially correlated random scaling factors based on Markov random field priors

Razen, Alexander; Lang, Stefan; Santer, Judith - 2016

Carlo (MCMC) algorithms and is smoothly incorporated into the framework of distributional regression. We run a comprehensive …

Persistent link: https://www.econbiz.de/10011578941

Random scaling factors in Bayesian distributional regression models with an application to real estate data

Razen, Alexander; Lang, Stefan - 2016

Monte Carlo (MCMC) algorithms. We investigate the statistical properties of our approach within extensive simulation …

Persistent link: https://www.econbiz.de/10011549047

On the practice of Bayesian inference in basic economic time series models using Gibbs sampling

Pooter, Michiel de; Segers, Rene; Dijk, Herman K. van - 2006

Several lessons learned from a Bayesian analysis of basic economic time series models by means of the Gibbs sampling algorithm are presented. Models include the Cochrane-Orcutt model for serial correlation, the Koyck distributed lag model, the Unit Root model, the Instrumental Variables model...

Persistent link: https://www.econbiz.de/10011349180