Search Results - subject:"Markov-Chain Monte Carlo"

Modeling high-frequency financial data using R and Stan : a bayesian autoregressive conditional duration approach

Tabash, Mosab I.; Navas, T. Muhammed; Thayyib, P. V.; … - In: Journal of open innovation : technology, market, and … 10 (2024) 2, pp. 1-16

statistical inference, and the simulation uses the Hamiltonian Monte Carlo (HMC) algorithm of Markov Chain Monte Carlo (MCMC) to …

Persistent link: https://www.econbiz.de/10014581582

Markov-switching models with unknown error distributions : identification and inference within the Bayesian framework

Hwu, Shih-Tang; Kim, Chang-jin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 2, pp. 177-199

Persistent link: https://www.econbiz.de/10014631899

Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov chain Monte Carlo methods

Hauzenberger, Niko; Huber, Florian; Koop, Gary - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 2, pp. 201-225

Persistent link: https://www.econbiz.de/10014631913

Multi-population mortality modelling : a Bayesian hierarchical approach

Shi, Jianjie; Shi, Yanlin; Wang, Pengjie; Zhu, Dan - In: ASTIN bulletin : the journal of the International … 54 (2024) 1, pp. 46-74

Persistent link: https://www.econbiz.de/10014485594

A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting

Wang, Chao; Gerlach, Richard - In: Journal of forecasting 43 (2024) 1, pp. 40-57

Persistent link: https://www.econbiz.de/10014443184

Flexible negative binomial mixtures for credible mode inference in heterogeneous count data from finance, economics and bioinformatics

Cross, Jamie; Hoogerheide, Lennart; Labonne, Paul; … - 2024

In several scientific fields, such as finance, economics and bioinformatics, important theoretical and practical issues exist involving multimodal and asymmetric count data distributions due to heterogeneity of the underlying population. For accurate approximation of such distributions we...

Persistent link: https://www.econbiz.de/10015062977