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Markov switching GARCH models for Bayesian hedging on energy futures markets

Billio, Monica; Casarin, Roberto; Osuntuyi, Anthony - In: Energy economics 70 (2018), pp. 545-562

Persistent link: https://www.econbiz.de/10011942887

Markov switching GARCH models for Bayesian hedging on energy futures markets

Billio, Monica; Casarin, Roberto; Osuntuyi, Anthony - 2014

Persistent link: https://www.econbiz.de/10011629426

Efficient Gibbs Sampling for Markov Switching GARCH Models

Billio, Monica; Casarin, Roberto; Osuntuyi, Anthony - Dipartimento di Economia, Università Ca' Foscari Venezia - 2012

We develop efficient simulation techniques for Bayesian inference on switching GARCH models. Our contribution to … space models with particular attention to MS-GARCH models. Our multi-move sampling strategy is based on the Forward … Filtering Backward Sampling (FFBS) applied to an approximation of MS-GARCH. Another important contribution is the use of multi …

Persistent link: https://www.econbiz.de/10010602299

Bayesian estimation of switching ARMA models

Billio, Monica; Monfort, Alain; Robert, Christian P. - In: Journal of econometrics 93 (1999) 2, pp. 229-255

Persistent link: https://www.econbiz.de/10001406655

Random scaling factors in Bayesian distributional regression models with an application to real estate data

Razen, Alexander; Lang, Stefan - 2016

Distributional structured additive regression provides a flexible framework for modeling each parameter of a potentially complex response distribution in dependence of covariates. Structured additive predictors allow for an additive decomposition of covariate effects with nonlinear effects and...

Persistent link: https://www.econbiz.de/10011549047

Statistical risk analysis for real estate collateral valuation using Bayesian distributional and quantile regression

Razen, Alexander; Brunauer, Wolgang; Klein, Nadja; … - 2014

The Basel II framework strictly defines the conditions under which financial institutions are authorized to accept real estate as collateral in order to decrease their credit risk. A widely used concept for its valuation is the hedonic approach. It assumes, that a property can be characterized...

Persistent link: https://www.econbiz.de/10010354740