Similar Search Results - EconBiz

Improving MCMC Using Efficient Importance Sampling

Liesenfeld, Roman; Richard, Jean-François - 2006

This paper develops a systematic Markov Chain Monte Carlo (MCMC) framework based upon Efficient Importance Sampling (EIS) which can be used for the analysis of a wide range of econometric models involving integrals without an analytical solution. EIS is a simple, generic and yet accurate...

Persistent link: https://www.econbiz.de/10014058202

Classical and Bayesian analysis of unvariate and multivariate stochastic volatility models

Liesenfeld, Roman; Richard, Jean-François - In: Econometric reviews 25 (2006) 2/3, pp. 335-360

Persistent link: https://www.econbiz.de/10003355771

Improving MCMC using efficient importance sampling

Liesenfeld, Roman (contributor); … - 2006

This paper develops a systematic Markov Chain Monte Carlo (MCMC) framework based upon Efficient Importance Sampling (EIS) which can be used for the analysis of a wide range of econometric models involving integrals without an analytical solution. EIS is a simple, generic and yet accurate...

Persistent link: https://www.econbiz.de/10003327173

Efficient high-dimensional importance sampling

Richard, Jean-François; Zhang, Wei-Bin - In: Journal of econometrics 141 (2007) 2, pp. 1385-1411

Persistent link: https://www.econbiz.de/10003571472

Stochastic volatility and leverage : application to a panel of S&P500 stocks

Ozturk, Serda Selin; Richard, Jean-François - In: Finance research letters 12 (2015), pp. 67-76

Persistent link: https://www.econbiz.de/10011552253

Finite Gaussian mixture approximations to analytically intractable density Kernels

Khorunzhina, Natalia; Richard, Jean-François - In: Computational economics 53 (2019) 3, pp. 991-1017

Persistent link: https://www.econbiz.de/10012135106

Computer automation of general-to-specific model selection procedures

Krolzig, Hans-Martin; Hendry, David F. - 2000

Persistent link: https://www.econbiz.de/10001503808

Forecasting with difference-stationary and trend-stationary models

Clements, Michael P.; Hendry, David F. - 2000

Persistent link: https://www.econbiz.de/10001503819

Forecasting economic processes

Clements, Michael P. - In: International journal of forecasting 14 (1998) 1, pp. 111-131

Persistent link: https://www.econbiz.de/10001242425

Computer automation of general-to-specific model selection procedures

Krolzig, Hans-Martin; Hendry, David F. - In: Journal of economic dynamics & control 25 (2001) 6/7, pp. 831-866

Persistent link: https://www.econbiz.de/10001571994

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