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Evaluating models of autoregressive conditional duration

Meitz, Mika (contributor); Teräsvirta, Timo (contributor) - 2004 - [Elektronische Ressource], First version March 2004, revised December 2004

autoregressive conditional duration (ACD) model is presented. Second, two new classes of ACD models, the smooth transition ACD model …

Persistent link: https://www.econbiz.de/10001959574

Parametric covariance matrix modeling in Bayesian panel regression

Salabasis, Mickael (contributor) - 2004 - [Elektronische Ressource], Rev. February 16, 2005

The full Bayesian treatment of error component models typically relies on data augmentation to produce the required inference. Never stricly necessary a direct approach is always possible though not necessarily practical. The mechanics of direct sampling are outlined and a template for including...

Persistent link: https://www.econbiz.de/10002595455