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Parallel sequential Monte Carlo for efficient density combination : the Deco Matlab Toolbox
Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2013
Persistent link: https://www.econbiz.de/10009730084
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Bayesian option pricing using mixed normal heteroskedasticity models
Rombouts, Jeroen V. K.; Stentoft, Lars - 2009
Persistent link: https://www.econbiz.de/10003849502
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Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen V. K. - 2011
Persistent link: https://www.econbiz.de/10009382620
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Noncausal Bayesian vector autoregression
Lanne, Markku; Luoto, Jani - 2014
Persistent link: https://www.econbiz.de/10010256309
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Stochastic trends and seasonality in economic time series : new evidence from Bayesian stochastic model specification search
Proietti, Tommaso; Grassi, Stefano - 2011
Persistent link: https://www.econbiz.de/10009272103
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A comprehensive look at financial volatility prediction by economic variables
Christiansen, Charlotte; Schmeling, Maik; Schrimpf, Andreas - 2010
Persistent link: https://www.econbiz.de/10008651643
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Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller - 2019
Persistent link: https://www.econbiz.de/10012063989
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A mixed-frequency Bayesian vector autoregression with a steady-state prior
Ankargren, Sebastian; Unosson, Måns; Yang, Yukai - 2018
Persistent link: https://www.econbiz.de/10011946422
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Consistent inference for predictive regressions in persistent VAR economies
Andersen, Torben; Varneskov, Rasmus Tangsgaard - 2018
Persistent link: https://www.econbiz.de/10011797682
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Evaluating value-at-risk models with desk-level data
Christoffersen, Peter F.; Berkowitz, Jeremy; Pelletier, … - 2009
Persistent link: https://www.econbiz.de/10003865687