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Semiparametric Bayesian Inference for Time Series with Mixed Spectra

Carter, Chris K.; Kohn, Robert - 2008

A Bayesian analysis is presented of a time series which is the sum of a stationary component with a smooth spectral density and a deterministic component consisting of a linear combination of a trend and periodic terms. The periodic terms may have known or unknown frequencies. The advantage of...

Persistent link: https://www.econbiz.de/10014029563

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - 2014

implicit statistical arbitrage method. We use a simulation-based Bayesian procedure for predicting stable ratios, defined in a …

Persistent link: https://www.econbiz.de/10010259626

Consistent estimation, model selection and averaging of dynamic panel data models with fixed effect

Li, Guangjie (contributor) - 2009

In the context of an autoregressive panel data model with fixed effect, we examine the relationship between consistent parameter estimation and consistent model selection. Consistency in parameter estimation is achieved by using the tansformation of the fixed effect proposed by Lancaster (2002)....

Persistent link: https://www.econbiz.de/10003817214

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Ardia, David; Gatarek, Lukasz T.; Hoogerheide, Lennart; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-19

. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …

Persistent link: https://www.econbiz.de/10011505854

Bayesian estimation of large-scale simulation models with Gaussian process regression surrogates

Barde, Sylvain - 2022

Large scale, computationally expensive simulation models pose a particular challenge when it comes to estimating their … parameters from empirical data. Most simulation models do not possess closed form expressions for their likelihood function …, requiring the use of simulation-based inference, such as simulated method of moments, indirect inference or approximate Bayesian …

Persistent link: https://www.econbiz.de/10013439970

Numerical Tools for the Bayesian Analysis of Stochastic Frontier Models

Osiewalski, Jacek; Steel, Mark F. J. - 1997

In this paper we describe the use of modern numerical integration methods for making posterior inferences in composed error stochastic frontier models for panel data or individual cross-sections. Two Monte Carlo methods have been used in practical applications. We survey these two methods in...

Persistent link: https://www.econbiz.de/10014051870

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 GARCH(1,1) Model with Student-t Innovations

Ardia, David; Hoogerheide, Lennart F. - 2019

This paper presents the R package bayesGARCH which provides functions for the Bayesian estimation of the parsimonious but effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids the time-consuming and difficult task of tuning a sampling...

Persistent link: https://www.econbiz.de/10014203852

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