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Towards a causal model and causal inference of regional entrepreneurship development index, its antecedents and outcomes in European regions
Azhdari, Behnam; Bonnet, Jean; Bourdin, Sébastien - 2022
Persistent link: https://www.econbiz.de/10013557090
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A flexible predictive density combination for large financial data sets in regular and crisis periods
Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2022
A flexible predictive density combination is introduced for large financial data sets which allows for model set incompleteness. Dimension reduction procedures that include learning allocate the large sets of predictive densities and combination weights to relatively small subsets. Given the...
Persistent link: https://www.econbiz.de/10013332662
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Graphical model inference with external network data
Jewson, Jack; Li, Li; Battaglia, Laura; Hansen, Stephen; … - 2022
Persistent link: https://www.econbiz.de/10013426552
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Marginal Likelihood for Markov-switching and Change-point Garch Models
Luc, Luc; Dufays, Arnaud; Rombouts, Jeroen V.K. - School of Economics and Management, University of Aarhus - 2011
GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility … process. Flexible alternatives are Markov-switching GARCH and change-point GARCH models. They require estimation by MCMC …
Persistent link: https://www.econbiz.de/10009371456
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Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity
Chen, Cathy; Lin, Simon; Yu, Philip - In: Computational Economics 40 (2012) 1, pp. 19-48
Persistent link: https://www.econbiz.de/10010866870
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GARCH dependence in extreme value models with Bayesian inference
Zhao, Xin; Scarrott, Carl John; Oxley, Les; Reale, Marco - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 7, pp. 1430-1440
volatility model like a GARCH (or one of its many incarnations) followed by application of standard extreme value models to the …
Persistent link: https://www.econbiz.de/10010749110
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Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen V.K. - In: Journal of Econometrics 178 (2014) P3, pp. 508-522
GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility … process. Flexible alternatives are Markov-switching GARCH and change-point GARCH models. They require estimation by MCMC …
Persistent link: https://www.econbiz.de/10011052313
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A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models
Bauwens, Luc; De Backer, Bruno; Dufays, Arnaud - In: Journal of Empirical Finance 29 (2014) C, pp. 207-229
We present an estimation and forecasting method, based on a differential evolution MCMC method, for inference in GARCH …
Persistent link: https://www.econbiz.de/10011116269
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Marginal Likelihood for Markov-Switching and Change-Point GARCH Models
Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen V.K. - Centre Interuniversitaire sur le Risque, les Politiques … - 2011
GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility … process. Flexible alternatives are Markov-switching GARCH and change-point GARCH models. They require estimation by MCMC …
Persistent link: https://www.econbiz.de/10010615163
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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