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Posterior Simulation and Bayes Factors in Panel Count Data Models

Chib, Siddhartha; Greenberg, Edward; Winkelmann, Rainer - EconWPA - 1996

This paper is concerned with the problems of posterior simulation and model choice for Poisson panel data models with multiple random effects. Efficient algorithms based on Markov Chain Monte Carlo methods for sampling the posterior distribution are developed. A new parameterization of the...

Persistent link: https://www.econbiz.de/10005556364

MCMC Methods for Fitting and Comparing Multinomial Response Models

Chib, Siddhartha; Greenberg, Edward; Chen, Yuxin - EconWPA - 1998

This paper is concerned with statistical inference in multinomial probit, multinomial-$t$ and multinomial logit models. New Markov chain Monte Carlo (MCMC) algorithms for fitting these models are introduced and compared with existing MCMC methods. The question of parameter identification in the...

Persistent link: https://www.econbiz.de/10005119186

On Describing Multivariate Skewness: A Directional Approach

Ferreira, J. T. A. S.; Steel, M. F. J. - EconWPA - 2004

Most multivariate measures of skewness in the literature measure the overall skewness of a distribution. While these … distributions is less obvious. In this article, we consider the problem of characterising the skewness of multivariate distributions …. We define directional skewness as the skewness along a direction and analyse parametric classes of skewed distributions …

Persistent link: https://www.econbiz.de/10005556279

Measuring Loss Potential of Hedge Fund Strategies

Prado, Marcos Mailoc López de; Peijan, Achim - EconWPA - 2005

We measure the loss potential of Hedge Funds by combining three market risk measures: VaR, Draw-Down and Time Under-The-Water. Calculations are carried out considering three different frameworks regarding Hedge Fund returns: i) Normality and time-independence, ii) Non-normality and time-...

Persistent link: https://www.econbiz.de/10005134729