This paper is concerned with the study of Bayesian inference procedures to commonly used time series models. In … are analytically integrated and hyperparameters are integrated by Markov chain Monte Carlo methods. Credibility regions …

This paper is concerned with the study of Bayesian inference procedures to commonly used time series models. In … are analytically integrated and hyperparameters are integrated by Markov chain Monte Carlo methods. Credibility regions …

This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the …

This paper analyzes the forecasting performance of an open economy DSGE model, estimated with Bayesian methods, for the … likelihood and two different Bayesian approaches, and traditional benchmark models, e.g. the random walk. The accuracy of point … present. We also critically examine the role of Bayesian model probabilities and other frequently used low …

distribution. The second shows the relevance of the adaptive mixture procedure through the Bayesian estimation of a mixture of ARCH …