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Search: subject:"Change-point model"
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Bayesian inference
11
change-point model
11
Change-point model
9
Bayes-Statistik
8
Volatility
7
Volatilität
7
Change point model
6
Estimation
6
Monetary policy
6
Schätzung
6
Bayesian estimation
5
Geldpolitik
5
Inflation volatility
5
Marginal likelihood
5
Theorie
5
Theory
5
monetary policy
5
time varying parameter model
5
BIC
4
GARCH
4
Markov chain Monte Carlo
4
Markov-switching model
4
Structural break
4
Strukturbruch
4
USA
4
United States
4
1947-2013
3
Inflation rate
3
Inflationsrate
3
Simulation
3
Structural breaks
3
Bayesian change-point model
2
Capital income
2
Chib's method
2
Fear of floating
2
Kapitaleinkommen
2
Markov chain
2
Markov-Kette
2
Particle MCMC
2
R package threshtvp
2
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Free
16
Undetermined
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Book / Working Paper
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Article
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Working Paper
7
Article in journal
6
Aufsatz in Zeitschrift
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Arbeitspapier
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Graue Literatur
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English
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Bauwens, Luc
5
Eisenstat, Eric
5
Strachan, Rodney W.
5
Dufays, Arnaud
4
Rombouts, Jeroen V.K.
4
Feldkircher, Martin
3
Huber, Florian
3
Kastner, Gregor
3
BAUWENS, Luc
2
Bianchi, Daniele
2
Cuaresma, Jesus Crespo
2
Guidolin, Massimo
2
Ravazzolo, Francesco
2
Rombouts, Jeroen V. K.
2
Walde, Janette
2
Windberger, Thomas
2
Belaygorod, Anatoliy
1
Cheon, Sooyoung
1
Chib, Siddhartha
1
DUFAYS, Arnaud
1
Deng, Qiqi
1
Dueker, Michael
1
Fitzpatrick, Matthew
1
Husmeier, Dirk
1
Kim, Jaehee
1
Kumar, Satish
1
Li, Guangjie
1
Mantzaris, Alexander
1
Molnár, Peter
1
Mudelsee, M.
1
Ogawa, Mitsunori
1
Price, Phillip N.
1
ROMBOUTS, Jeroen
1
ROMBOUTS, Jeroen V.K.
1
Sohn, Michael D.
1
Takemura, Akimichi
1
Taufemback, Cleiton Guollo
1
Thies, Sven
1
Tiwari, Aviral Kumar
1
Walter, Travis
1
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
2
Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE)
2
Crawford School of Public Policy, Australian National University
2
Institut für Finanzwissenschaft, Fakultät für Volkswirtschaft und Statistik
1
Norges Bank
1
Society for Computational Economics - SCE
1
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CAMA Working Papers
2
CAMA working paper series
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CORE Discussion Papers
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Cahiers de recherche
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Applied Energy
1
Computational Statistics
1
Computational Statistics & Data Analysis
1
Computing in Economics and Finance 2005
1
Department of Economics working paper
1
Econometric reviews
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Finance research letters
1
Journal of Econometrics
1
Journal of Multivariate Analysis
1
Journal of applied econometrics
1
Journal of econometrics
1
Journal of quantitative economics
1
Statistical Applications in Genetics and Molecular Biology
1
Statistical Methods and Applications
1
Statistical Papers / Springer
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Statistics & Probability Letters
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Working Paper
1
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1
Working Papers / Institut für Finanzwissenschaft, Fakultät für Volkswirtschaft und Statistik
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Working Papers in Economics
1
Working Papers in Economics and Statistics
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RePEc
18
ECONIS (ZBW)
10
EconStor
3
BASE
1
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1
A sequential Bayesian change-point analysis of BRICS currency returns
Tiwari, Aviral Kumar
;
Taufemback, Cleiton Guollo
; …
- In:
Journal of quantitative economics
19
(
2021
)
2
,
pp. 393-402
Persistent link: https://www.econbiz.de/10012584982
Saved in:
2
Sparse change-point HAR Models for Realized Variance
Dufays, Arnaud
;
Rombouts, Jeroen V. K.
- In:
Econometric reviews
38
(
2019
)
8
,
pp. 857-880
Persistent link: https://www.econbiz.de/10012181370
Saved in:
3
Modelling Inflation Volatility
Eisenstat, Eric
;
Strachan, Rodney W.
-
Crawford School of Public Policy, Australian National …
-
2014
change-point
model
provides more information on the level and persistence of volatility and the probabilities of changes. For …
Persistent link: https://www.econbiz.de/10010904219
Saved in:
4
Modelling Inflation Volatility
Eisenstat, Eric
;
Strachan, Rodney W.
-
Crawford School of Public Policy, Australian National …
-
2014
change-point
model
provides more information on the level and persistence of volatility and the probabilities of changes. For …
Persistent link: https://www.econbiz.de/10010942515
Saved in:
5
Modelling inflation volatility
Eisenstat, Eric
;
Strachan, Rodney W.
-
2014
Persistent link: https://www.econbiz.de/10011341971
Saved in:
6
Modelling inflation volatility
Eisenstat, Eric
;
Strachan, Rodney W.
-
2014
Persistent link: https://www.econbiz.de/10010348813
Saved in:
7
Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models
Huber, Florian
;
Kastner, Gregor
;
Feldkircher, Martin
-
2018
We propose a straightforward algorithm to estimate large Bayesian time-varying parameter vector autoregressions with mixture innovation components for each coefficient in the system. The computational burden becomes manageable by approximating the mixture indicators driving the time-variation in...
Persistent link: https://www.econbiz.de/10012042474
Saved in:
8
Should I stay or should I go? : a latent threshold approach to large-scale mixture innovation models
Huber, Florian
;
Kastner, Gregor
;
Feldkircher, Martin
-
2018
We propose a straightforward algorithm to estimate large Bayesian time-varying parameter vector autoregressions with mixture innovation components for each coefficient in the system. The computational burden becomes manageable by approximating the mixture indicators driving the time-variation in...
Persistent link: https://www.econbiz.de/10011930275
Saved in:
9
Macroeconomic factors strike back: A Bayesian
change-point
model
of time-varying risk exposures and premia in the U.S. cross-section
Bianchi, Daniele
;
Guidolin, Massimo
;
Ravazzolo, Francesco
-
Norges Bank
-
2013
shocks, are significantly priced in the cross-section. A Bayes factor analysis decisively favors the proposed
change-point
…
model
. …
Persistent link: https://www.econbiz.de/10010787769
Saved in:
10
Macroeconomic Factors Strike Back: A Bayesian
Change-Point
Model
of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section
Bianchi, Daniele
;
Guidolin, Massimo
;
Ravazzolo, Francesco
-
2013
shocks, are significantly priced in the cross-section. A Bayes factor analysis decisively favors the proposed
change-point
…
model
. …
Persistent link: https://www.econbiz.de/10012143831
Saved in:
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