Search Results - person:"Polson, Nicholas G"

Regularizing Bayesian predictive regressions

Feng, Guanhao; Polson, Nicholas G. - In: The journal of asset management 21 (2020) 7, pp. 591-608

Persistent link: https://www.econbiz.de/10012421072

A family of multivariate non‐gaussian time series models

Aktekin, Tevfik; Polson, Nicholas G.; Soyer, Refik - In: Journal of Time Series Analysis 41 (2020) 5, pp. 691-721

Persistent link: https://www.econbiz.de/10012283128

Sequential bayesian learning for stochastic volatility with variance-gamma jumps in returns

Warty, Samir P.; Lopes, Hehibert F.; Polson, Nicholas G. - 2014

Persistent link: https://www.econbiz.de/10010440180

Bayesian l 0 ‐regularized least squares

Polson, Nicholas G.; Sun, Lei - In: Applied Stochastic Models in Business and Industry 35 (2018) 3, pp. 717-731

Persistent link: https://www.econbiz.de/10012272402

Deep learning for spatio‐temporal modeling : Dynamic traffic flows and high frequency trading

Dixon, Matthew F.; Polson, Nicholas G.; Sokolov, Vadim O. - In: Applied Stochastic Models in Business and Industry 35 (2018) 3, pp. 788-807

Persistent link: https://www.econbiz.de/10012272418

An empirical test for Eurozone contagion using an asset-pricing model with heavy-tailed stochastic volatility

Polson, Nicholas G.; Scott, James G. - arXiv.org - 2011

This paper proposes an empirical test of financial contagion in European equity markets during the tumultuous period of 2008-2011. Our analysis shows that traditional GARCH and Gaussian stochastic-volatility models are unable to explain two key stylized features of global markets during...

Persistent link: https://www.econbiz.de/10009353658

Particle learning for fat-tailed distributions

Lopes, Hedibert Freitas; Polson, Nicholas G. - In: Econometric reviews 35 (2016) 8/10, pp. 1666-1691

Persistent link: https://www.econbiz.de/10011592384

Bayesian instrumental variables : priors and likelihoods

Lopes, Hedibert Freitas; Polson, Nicholas G. - In: Econometric reviews 33 (2014) 1/4, pp. 100-121

Persistent link: https://www.econbiz.de/10010358369

Sequential learning, predictability, and optimal portfolio returns

Johannes, Michael; Korteweg, Arthur; Polson, Nicholas G. - In: The journal of finance : the journal of the American … 69 (2014) 2, pp. 611-644

Persistent link: https://www.econbiz.de/10010372386

Augmented Markov chain Monte Carlo simulation for two-stage stochastic programs with recourse

Ekin, Tahir; Polson, Nicholas G.; Soyer, Refik - In: Decision analysis : a journal of the Institute for … 11 (2014) 4, pp. 250-264

Persistent link: https://www.econbiz.de/10010467454