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A Bayesian midas approach to modeling first and second moment dynamics

Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - 2014

Persistent link: https://www.econbiz.de/10010416812

Risk, return, and volatility feedback : a Bayesian nonparametric analysis

Jensen, Mark J.; Maheu, John M. - 2014

The relationship between risk and return is one of the most studied topics in finance. The majority of the literature is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the contemporaneous relationship between market excess...

Persistent link: https://www.econbiz.de/10010365633

A Bayesian MIDAS approach to modeling first and second moment dynamics

Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Roseen - 2014

Persistent link: https://www.econbiz.de/10010505305

A MIDAS approach to modeling first and second moment dynamics

Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - In: Journal of econometrics 193 (2016) 2, pp. 315-334

Persistent link: https://www.econbiz.de/10011704952

Particle efficient importance sampling

Scharth, Marcel; Kohn, Robert - In: Journal of econometrics 190 (2016) 1, pp. 133-147

Persistent link: https://www.econbiz.de/10011591626

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

Bayesian collapsed Gibbs sampling for a stochastic volatility model with a Dirichlet process mixture

Wu, Frank C. Z. - In: Journal of applied econometrics 39 (2024) 4, pp. 697-704

Persistent link: https://www.econbiz.de/10014562850

Bayesian predictive distributions of oil returns using mixed data sampling volatility models

Virbickaite, Audrone; Nguyen, Hoang; Minh-Ngoc Tran - 2023

Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …

Persistent link: https://www.econbiz.de/10014252427

Stochastic tail index model for high frequency financial data with Bayesian analysis

Mao, Guangyu; Zhang, Zhengjun - In: Journal of econometrics 205 (2018) 2, pp. 470-487

Persistent link: https://www.econbiz.de/10012110325

Bayesian testing for leverage effect in stochastic volatility models

Zhang, Jin-Yu; Chen, Zhong-Tian; Li, Yong - In: Computational economics 53 (2019) 3, pp. 1153-1164

Persistent link: https://www.econbiz.de/10012135124