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Bayesian Estimation for Parsimonious Threshold Autoregressive Models in R

Chen, Cathy W. S. - 2009

BAYSTAR provides Bayesian MCMC methods for iteratively sampling to provide parameter estimates and inference for the two-regime SETAR model. A convenient user interface for importing data from a file or specifying true values for simulated data is easy to apply for analysis. Parameter inferences...

Persistent link: https://www.econbiz.de/10013159447

Diagnostics for time series analysis

Gerlach, Richard; Carter, Chris K.; Kohn, Robert - 1997

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Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range

Chen, Cathy W. S.; Gerlach, Richard; Hwang, Bruce B. K.; … - In: International journal of forecasting 28 (2012) 3, pp. 557-574

Persistent link: https://www.econbiz.de/10009658352

Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics

Gerlach, Richard; Naimoli, Antonio; Storti, Giuseppe - In: Quantitative finance 20 (2020) 11, pp. 1849-1878

Persistent link: https://www.econbiz.de/10012295647