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Learning, convergence and economic constraints

Sögner, Leopold - In: Mathematical social sciences 75 (2015), pp. 27-43

Persistent link: https://www.econbiz.de/10011438556

Weather and SAD related mood effects on the financial market

Frühwirth, Manfred; Sögner, Leopold - In: The quarterly review of economics and finance : journal … 57 (2015), pp. 11-31

Persistent link: https://www.econbiz.de/10011574372

Making parametric portfolio policies work

Gehrig, Thomas P.; Sögner, Leopold; Westerkamp, Arne - 2018

Persistent link: https://www.econbiz.de/10011982320

Parameter estimation and inference with spatial lags and cointegration

Mutl, Jan; Sögner, Leopold - In: Econometric reviews 38 (2019) 6, pp. 597-635

Persistent link: https://www.econbiz.de/10012181339

Bayesian reconciliation of return predictability

Koval, Borys; Frühwirth-Schnatter, Sylvia; Sögner, Leopold - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 2, pp. 337-378

Persistent link: https://www.econbiz.de/10014631938

Bayesian estimation of stochastic volatility models based on OU processes with marginal Gamma law

Frühwirth-Schnatter, Sylvia; Sögner, Leopold - In: Annals of the Institute of Statistical Mathematics 61 (2009) 1, pp. 159-179

Persistent link: https://www.econbiz.de/10005616142

Priors and Bayesian parameter estimation of affine term structure models

Sögner, Leopold - In: International Journal of Computational Economics and … 4 (2014) 3/4, pp. 288-319

Affine term structure models describe the term structure of interest rates by means of a small number of latent factors. Quasi-unit root behaviour for these latent factors arises from the high degree of serial correlation in interest rate data. In this paper we perform Bayesian parameter...

Persistent link: https://www.econbiz.de/10011130144