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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 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

Bayesian estimation of switching ARMA models

Billio, Monica; Monfort, Alain; Robert, Christian P. - In: Journal of econometrics 93 (1999) 2, pp. 229-255

Persistent link: https://www.econbiz.de/10001406655

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

Bayesian nonparametric sparse VAR models

Billio, Monica; Casarin, Roberto; Rossini, Luca - In: Journal of econometrics 212 (2019) 1, pp. 97-115

Persistent link: https://www.econbiz.de/10012303895

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

Bayesian estimation of state space models using moment conditions

Gallant, A. Ronald; Giacomini, Raffaella; Ragusa, Giuseppe - In: Journal of econometrics 201 (2017) 2, pp. 198-211

Persistent link: https://www.econbiz.de/10011918691

Does smooth ambiguity matter for asset pricing?

Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018

We use the Bayesian method introduced by Gallant and McCulloch (2009) to estimate consumption-based asset pricing models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our structural estimation. Based on the market and aggregate...

Persistent link: https://www.econbiz.de/10011780610

Bayesian treatment effects models with variable selection for panel outcomes with an application to earnings effects of maternity leave

Jacobi, Liana; Wagner, Helga; Frühwirth-Schnatter, Sylvia - In: Journal of econometrics 193 (2016) 1, pp. 234-250

Persistent link: https://www.econbiz.de/10011704803