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~institution:"Faculty of Economics, University of Cambridge"
~institution:"Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät"
~institution:"HAL"
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Faculty of Economics, University of Cambridge
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
HAL
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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1
State Price Densities implied from weather derivatives
Härdle, Wolfgang Karl
;
López-Cabrera, Brenda
;
Teng, …
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2013
available. For this situation, we employ a
Bayesian
quadrature method because it allows us to incorporate prior assumptions on …
Persistent link: https://www.econbiz.de/10010658762
Saved in:
2
A flexible approach to parametric inference in nonlinear and time varying time series models
Koop, Gary
;
Potter, Simon
-
HAL
-
2010
transition autoregressive models or time varying parameter models).
Bayesian
econometric methods for inference are developed for …
Persistent link: https://www.econbiz.de/10010570531
Saved in:
3
A flexible approach to parametric inference in nonlinear and time varying time series models
Koop, Gary
;
Potter, Simon
-
HAL
-
2010
transition autoregressive models or time varying parameter models).
Bayesian
econometric methods for inference are developed for …
Persistent link: https://www.econbiz.de/10010821083
Saved in:
4
Bayesian
Demographic Modeling and Forecasting: An Application to U.S. Mortality
Reichmuth, Wolfgang
;
Sarferaz, Samad
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2008
Carlo algorithm to estimate the parameters and the latent variables in an efficient one-step procedure. Via the
Bayesian
…
Persistent link: https://www.econbiz.de/10005784846
Saved in:
5
Bayesian
Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information
Darsinos, T.
;
Satchell, S.E.
-
Faculty of Economics, University of Cambridge
-
2001
Bayesian
statistical methods are naturally oriented towards pooling in a rigorous way information from separate sources … volatility or options prices. We develop a formal
Bayesian
framework where we can merge the backward looking information as … forecasting options prices out of sample (i.e. one-day ahead) our
Bayesian
estimators outperform standard forecasts that use …
Persistent link: https://www.econbiz.de/10005783847
Saved in:
6
Bayesian
Estimation of Risk-Premia in an APT Context
Darsinos, T.
;
Satchell, S.E.
-
Faculty of Economics, University of Cambridge
-
2003
Bayesian
methodology for estimating factor risk premia and hence equity risk premia for both traded and non-traded factors …
Persistent link: https://www.econbiz.de/10005650522
Saved in:
7
Bayesian
Estimation and Model Selection in the Generalised Stochastic Unit Root Model
Leon-Gonzalez, Roberto
;
Yang, Fuyu
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2010
We develop
Bayesian
techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR …
Persistent link: https://www.econbiz.de/10008513138
Saved in:
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