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The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation

Basturk, Nalan; Hoogerheide, Lennart; Opschoor, Anne; … - Tinbergen Instituut - 2012

This paper presents the R package MitISEM, which provides an automatic and flexible method to approximate a non-elliptical target density using adaptive mixtures of Student-t densities, where only a kernel of the target density is required. The approximation can be used as a candidate density in...

Persistent link: https://www.econbiz.de/10011255807

Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models

Barra, István; Hoogerheide, Lennart; Koopman, Siem Jan; … - Tinbergen Instituut - 2014

We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear non-Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when these proposal densities are used in an independent...

Persistent link: https://www.econbiz.de/10011256750

The R-package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference

Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - Tinbergen Instituut - 2015

This paper presents the R-package MitISEM (mixture of t by importance sampling weighted expectation maximization) which provides an automatic and flexible two-stage method to approximate a non-elliptical target density kernel -- typically a posterior density kernel -- using an adaptive mixture...

Persistent link: https://www.econbiz.de/10011272589

Efficient Bayesian Estimation and Combination of GARCH-Type Models

Ardia, David; Hoogerheide, Lennart F. - Tinbergen Instituut - 2010

estimation strategies available for the Bayesian inference of GARCH-type models. The emphasis is put on a novel efficient …-nested GARCH-type models are estimated and combined to predict the distribution of next-day ahead log-returns. …

Persistent link: https://www.econbiz.de/10011255484

Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk

Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - Tinbergen Instituut - 1999

applied within a Bayesian analysisof a GARCH-mixture model which is used for the evaluation of theValue-at-Risk of the return …

Persistent link: https://www.econbiz.de/10011256462

Daily Exchange Rate Behaviour and Hedging of Currency Risk

Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - Tinbergen Instituut - 2001

ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance densities) areinvestigated in …

Persistent link: https://www.econbiz.de/10011256653

Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation?

Hoogerheide, Lennart F.; Ardia, David; Corre, Nienke - Tinbergen Instituut - 2011

-known GARCH models for density prediction of daily S&P 500 and Nikkei 225 index returns, a comparison is provided between …

Persistent link: https://www.econbiz.de/10011256766

Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS

Diks, Cees; Weide, Roy van der - Tinbergen Instituut - 2003

predicts MA(1) structure with a negative coeffient. Asynchronous updating leads to an MA(1) model for returns with GARCH($1 …,1$) innovations, and predicts a relation between the ARCH and GARCH coefficients. Heterogeneity in memory leads to long … coefficient and the relation between the ARCH and GARCH coefficients for exchange rate data. …

Persistent link: https://www.econbiz.de/10011256802

Stock Index Volatility Forecasting with High Frequency Data

Hol, Eugenie; Koopman, Siem Jan - Tinbergen Instituut - 2002

Volatility (SV) and Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models which are both extended to include … outperforms the GARCH model. …

Persistent link: https://www.econbiz.de/10011256816

Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations

Ardia, David; Hoogerheide, Lennart F. - Tinbergen Instituut - 2010

parsimonious and effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus …

Persistent link: https://www.econbiz.de/10011256998