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Capturing unobserved consumer heterogeneity using the Bayesian heterogeneity model

Frühwirth-Schnatter, Sylvia; Tüchler, Regina; Otter, … - In: Adaptive information systems and modelling in economics …, (pp. 57-70). 2005

Persistent link: https://www.econbiz.de/10003319808

Non-linear volatility modeling in classical and Bayesian frameworks with applications to risk management

Miazhynskaia, Tatiana; Dockner, Engelbert J.; … - In: Adaptive information systems and modelling in economics …, (pp. 73-98). 2005

Persistent link: https://www.econbiz.de/10003319811

Bayesian semiparametric stochastic volatility modeling

Jensen, Mark J.; Maheu, John M. - In: Journal of econometrics 157 (2010) 2, pp. 306-316

Persistent link: https://www.econbiz.de/10008663011

Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture

Jensen, Mark J.; Maheu, John M. - In: Journal of econometrics 178 (2014) 1, pp. 523-538

Persistent link: https://www.econbiz.de/10010256874

Bayesian exploratory factor analysis

Conti, Gabriella; Frühwirth-Schnatter, Sylvia; … - In: Journal of econometrics 183 (2014) 1, pp. 31-57

Persistent link: https://www.econbiz.de/10010506092

Estimation of stochastic volatility models with diagnostics

Gallant, A. Ronald - In: Journal of econometrics 81 (1997) 1, pp. 159-192

Persistent link: https://www.econbiz.de/10001336798

Achieving shrinkage in a time-varying parameter model framework

Bitto, Angela; Frühwirth-Schnatter, Sylvia - In: Journal of econometrics 210 (2019) 1, pp. 75-97

Persistent link: https://www.econbiz.de/10012303379

Triple the gamma : a unifying shrinkage prior for variance and variable selection in sparse state space and TVP models

Cadonna, Annalisa; Frühwirth-Schnatter, Sylvia; Knaus, … - In: Econometrics : open access journal 8 (2020) 2/20, pp. 1-36

Time-varying parameter (TVP) models are very flexible in capturing gradual changes in the effect of explanatory variables on the outcome variable. However, in particular when the number of explanatory variables is large, there is a known risk of overfitting and poor predictive performance, since...

Persistent link: https://www.econbiz.de/10012265494

Bayesian semiparametric modeling of realized covariance matrices

Jin, Xin; Maheu, John M. - In: Journal of econometrics 192 (2016) 1, pp. 19-39

Persistent link: https://www.econbiz.de/10011610652

Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale

Gallant, A. Ronald; Tauchen, George Eugene - In: Journal of econometrics 205 (2018) 1, pp. 140-155

Persistent link: https://www.econbiz.de/10012110246