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Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors

Fisher, Mark; Jensen, Mark J. - 2018

Change point models using hierarchical priors share in the information of each regime when estimating the parameter values of a regime. Because of this sharing, hierarchical priors have been very successful when estimating the parameter values of short-lived regimes and predicting the...

Persistent link: https://www.econbiz.de/10011798456

Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors

Fisher, Mark - 2020

Persistent link: https://www.econbiz.de/10012852769

Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors

Fisher, Mark; Jensen, Mark J. - In: Journal of econometrics 210 (2019) 1, pp. 187-202

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News arrival, jump dynamics, and volatility components for individual stock returns

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Identification and forecasting of bull and bear markets using multivariate returns

Liu, Jia; Maheu, John M.; Song, Yong - In: Journal of applied econometrics 39 (2024) 5, pp. 723-745

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Forecasting realized volatility : a Bayesian model-averaging approach

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Do high-frequency measures of volatility improve forecasts of return distributions?

Maheu, John M.; McCurdy, Thomas H. - In: Journal of econometrics 160 (2011) 1, pp. 69-76

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A new structural break model, with an application to Canadian inflation forecasting

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Learning, forecasting and structural breaks

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How useful are historical data for forecasting the long-run equity return distribution?

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Persistent link: https://www.econbiz.de/10003805430