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Bayesian estimation of the GARCH(1,1) model with student-t innovations

Ardia, David; Hoogerheide, Lennart F. - 2010

This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the …

Persistent link: https://www.econbiz.de/10011380176

A generalized linear mixed model for data breaches and its application in cyber insurance

Sun, Meng; Yi, Lu - In: Risks : open access journal 10 (2022) 12, pp. 1-23

Clearinghouse (PRC) since 2001 and propose a Bayesian generalized linear mixed model for data breach incidents. Our model captures … under Bayesian framework using a combination of Gibbs sampler and Metropolis–Hastings algorithm. Predictions and …

Persistent link: https://www.econbiz.de/10014230858

Focused information criterion for locally misspecified vector autoregressive models

Lohmeyer, Jan; Palm, Franz C.; Reuvers, Hanno; Urbain, … - In: Econometric reviews 38 (2019) 7, pp. 763-792

Persistent link: https://www.econbiz.de/10012181357

Bayesian quantile regression analysis for bivariate vector autoregressive models with an application to financial time series

Yang, Kai; Zhao, Luan; Hu, Qian; Wang, Wenshan - 2024

Persistent link: https://www.econbiz.de/10015143979

Estimation of coherent demand systems with many binding non-negativity constraints

Pitt, Mark Martin; Millimet, Daniel L. - 1999

Two econometric issues arise in the estimation of complete systems of producer or consumer demands when many non-negativity constraints are binding for a large share of observations, as frequently occurs with micro-level data. The first is computational. The econometric model is essentially an...

Persistent link: https://www.econbiz.de/10011503892