Narrow search
Showing 1 - 10 of 3,770
Cover Image
Bayesian Analysis of Moving Average Stochastic Volatility Models : Modelling in Mean Effects and Leverage for Financial Time Series
Dimitrakopoulos, Stefanos - 2017
We propose a moving average stochastic volatility in mean model and a moving average stochastic volatility model with leverage. For parameter estimation, we develop efficient Markov chain Monte Carlo algorithms and illustrate our methods, using simulated data and a real data set. We compare the...
Persistent link: https://www.econbiz.de/10012956581
Cover Image
Is unemployment hysteretic or structural? : a Bayesian model selection approach
Clavijo-Cortes, Pedro - In: Empirical economics : a quarterly journal of the … 65 (2023) 6, pp. 2837-2866
Persistent link: https://www.econbiz.de/10014388985
Cover Image
Density prediction of stock index returns using GARCH models : frequentist or Bayesian estimation?
Hoogerheide, Lennart F.; Ardia, David; Corré, Nienke - In: Economics letters 116 (2012) 3, pp. 322-325
Persistent link: https://www.econbiz.de/10009674398
Cover Image
Exploiting common features in macroeconomic and financial data
Çakmaklı, Cem - 2012
Persistent link: https://www.econbiz.de/10009713424
Cover Image
Stochastic model specification search for time-varying parameter VARs
Eisenstat, Eric; Chan, Joshua; Strachan, Rodney W. - 2014
Persistent link: https://www.econbiz.de/10010348808
Cover Image
Bayesian stochastic model specification search for seasonal and calendar effects
Proietti, Tommaso; Grassi, Stefano - 2011
Persistent link: https://www.econbiz.de/10008841795
Cover Image
Modeling and implementation of local volatility surfaces in Bayesian framework
Animoku, Abdulwahab; Uğur, Ömür; Yolcu-Okur, Yeliz - In: Computational Management Science : CMS 15 (2018) 2, pp. 239-258
Persistent link: https://www.econbiz.de/10011876581
Cover Image
Specification tests for time-varying parameter models with stochastic volatility
Chan, Joshua - 2015
Persistent link: https://www.econbiz.de/10011758150
Cover Image
Stochastic multivariate mixture covariance model
So, Mike Ka-pui; Li, Raymond W. M.; Asai, Manabu; Jiang, Yue - In: Journal of forecasting 36 (2017) 2, pp. 139-155
Persistent link: https://www.econbiz.de/10011729126
Cover Image
Specification tests for time-varying parameter models with stochastic volatility
Chan, Joshua - In: Econometric reviews 37 (2018) 6/10, pp. 807-823
Persistent link: https://www.econbiz.de/10012040412