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A Bayesian Markov-switching correlation model for contagion analysis on exchange rate markets

Casarin, Roberto; Sartore, Domenico; Tronzano, Marco - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 101-114

Persistent link: https://www.econbiz.de/10011894407

A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities

Casarin, Roberto - 2015

We build on Fackler and King (1990) and propose a general calibration model for implied risk neutral densities. Our model allows for the joint calibration of a set of densities at different maturities and dates. The model is a Bayesian dynamic beta Markov random field which allows for possible...

Persistent link: https://www.econbiz.de/10013031557

Bayesian dynamic tensor regression

Billio, Monica; Casarin, Roberto; Iacopini, Matteo; … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 429-439

Persistent link: https://www.econbiz.de/10014448234

Bayesian nonparametric panel Markov-switching GARCH models

Casarin, Roberto; Costantini, Mauro; Osuntuyi, Anthony - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 1, pp. 135-146

Persistent link: https://www.econbiz.de/10014449842

Estimation of the preference heterogeneity within stated choice data using semiparametric varying-coefficient methods

Hoshino, Tadao - In: Empirical economics : a journal of the Institute for … 45 (2013) 3, pp. 1129-1148

Persistent link: https://www.econbiz.de/10010222429

Semiparametric spatial autoregressive models with endogenous regressors : with an application to crime data

Hoshino, Tadao - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 160-172

Persistent link: https://www.econbiz.de/10011894483

Estimating a continuous treatment model with spillovers : a control function approach

Hoshino, Tadao - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 591-602

Persistent link: https://www.econbiz.de/10015053430

Modeling purchases as repeated events

Bijwaard, Govert; Franses, Philip Hans; Paap, Richard - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 4, pp. 487-502

Persistent link: https://www.econbiz.de/10003385180

On periodic correlations between estimated seasonal and nonseasonal components in German and US unemployment

Ooms, Marius - In: Journal of business & economic statistics : JBES ; a … 15 (1997) 4, pp. 470-481

Persistent link: https://www.econbiz.de/10001227093