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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
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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
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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
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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
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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
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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
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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
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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
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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
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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