Similar Search Results

Dynamic Bayesian predictive synthesis in time series forecasting

McAlinn, Kenichiro; West, Mike - In: Journal of econometrics 210 (2019) 1, pp. 155-169

Persistent link: https://www.econbiz.de/10012303388

A Markov-chain sampling algorithm for GARCH models

Nakatsuma, Teruo (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 3 (1998) 2, pp. 107-117

Persistent link: https://www.econbiz.de/10001769705

A Markov-chain sampling algorithm for GARCH models

Nakatsuma, Teruo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 3 (1998) 2, pp. 107-117

Persistent link: https://www.econbiz.de/10009949724

A Markov-Chain Sampling Algorithm for GARCH Models

Nakatsuma, Teruo - In: Studies in Nonlinear Dynamics & Econometrics 3 (1998) 2

This paper describes a GAUSS program of a Markov-chain sampling algorithm for GARCH models proposed by Nakatsuma (1998). This algorithm allows us to generate Monte Carlo samples of parameters in a GARCH model from their joint posterior distribution. The samples obtained by this algorithm are...

Persistent link: https://www.econbiz.de/10014620814

Trading and ordering patterns of market participants in high frequency trading environment : empirical study in the Japanese stock market

Saito, Taiga; Adachi, Takanori; Nakatsuma, Teruo; … - In: Asia-Pacific financial markets 25 (2018) 3, pp. 179-220

Persistent link: https://www.econbiz.de/10012033008

Hierarchical Bayesian hedonic regression analysis of Japanese rice wine : is the price right?

Saito, Wakuo; Nakatsuma, Teruo - In: International journal of wine business research 35 (2023) 2, pp. 256-277

Persistent link: https://www.econbiz.de/10014335848

A Markov-Chain Sampling Algorithm for GARCH Models

Nakatsuma, Teruo - In: Studies in Nonlinear Dynamics & Econometrics 3 (2007) 2, pp. 107-117

Persistent link: https://www.econbiz.de/10004966247

The Economics of Fintech

Kaji, Sahoko (ed.); Nakatsuma, Teruo (ed.); … - 2021 - 1st ed. 2021.

Chapter 1. An Overview of Fintech -- Chapter 2. Macroeconomics and Fintech -- Chapter 3. Crypto Assets (Crypto Currencies) and Central Bank Digital Currencies -- Chapter 4. Consumer behavior and Marketing in Fintech -- Chapter 5. Effects of Fintech on Existing Financial Institutions -- Chapter...

Persistent link: https://www.econbiz.de/10012440036

Bayesian analysis of ARMA-GARCH models: A Markov chain sampling approach

Nakatsuma, Teruo - In: Journal of Econometrics 95 (2000) 1, pp. 57-69

Persistent link: https://www.econbiz.de/10005285830

A New Control Variate Estimator for an Asian Option

Kamizono, Kenji; Kariya, Takeaki; Liu, Regina; … - In: Asia-Pacific Financial Markets 11 (2004) 2, pp. 143-160

There exist several estimators for valuing the Asian option on the arithmetic mean. Among all variance reduction estimators, the one with the control variate derived from the geometric mean has been shown by Boyle et al. (1997) to perform best so far. In this paper, a new improved control...

Persistent link: https://www.econbiz.de/10005810968