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Bayesian option pricing using asymmetric GARCH

BAUWENS, LUC; LUBRANO, Michel - Center for Operations Research and Econometrics (CORE), … - 1997

This paper shows how one can compute option prices from a Bayesian inference viewpoint, using an econometric model for …

Persistent link: https://www.econbiz.de/10005008451

Smooth transition GARCH models: a Bayesian perspective

LUBRANO, Michel - Center for Operations Research and Econometrics (CORE), … - 1998

mixedeffect. A Bayesian strategy, based on the comparison between posterior and predictive Bayesian residuals, is built for …

Persistent link: https://www.econbiz.de/10005043445

Adaptive polar sampling with an application to a Bayes measure of value-at-risk

BAUWENS, Luc; BOS, Charles S.; DIJK, Herman K. VAN - Center for Operations Research and Econometrics (CORE), … - 1999

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlo method for Bayesian analysis of models with ill … parsimony and robustness. APS is applied within a Bayesian analysis of a GARCH-mixture model which is used for the evaluation of …

Persistent link: https://www.econbiz.de/10005042753

On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural network...

HOOGERHEIDE, Lennart F.; KAASHOEK, Johan F.; DIJK, … - Center for Operations Research and Econometrics (CORE), … - 2005

may exhibit rather non-elliptical contours in the parameter space. This may seriously affect inference based on Bayesian …

Persistent link: https://www.econbiz.de/10005043139

Bayesian clustering of many GARCH models

BAUWENS, Luc; ROMBOUTS, Jeroen - Center for Operations Research and Econometrics (CORE), … - 2003

distribution has its own conditional mean and variance. Inference is done by the Bayesian approach, using data augmentation …

Persistent link: https://www.econbiz.de/10005008555

Bayesian evaluation of a semi-parametric binary response model

SCHEIHING, Eliana; MOUCHART, Michel - Center for Operations Research and Econometrics (CORE), … - 1998

In this paper, we develop a Bayesian analysis of a semi-parametric binary choice model. The prior speciﬁcation of the …

Persistent link: https://www.econbiz.de/10005043343

A Bayesian approach to the econometrics of first-price auctions

ALBANO, Gian Luigi; JOUNEAU, Fréféric - Center for Operations Research and Econometrics (CORE), … - 1998

We propose a Bayesian approach to empirical auction models. We argue that the Bayesian paradigm is more suitable to the …

Persistent link: https://www.econbiz.de/10005043680