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Nonstationarity in GARCH models : a Bayesian analysis
Kleibergen, Frank; Dijk, Herman K. van - 1993
Persistent link: https://www.econbiz.de/10000122477
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A Bayesian analysis of periodic integration
Franses, Philip H.; Koop, Gary - 1994
Persistent link: https://www.econbiz.de/10000122538
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Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility
Bos, Charles S. - 2008
Persistent link: https://www.econbiz.de/10003645209
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Bayesian forecasting of value at risk and expected shortfall using adaptive importance sampling
Hoogerheide, Lennart F.; Dijk, Herman K. van - 2008
Persistent link: https://www.econbiz.de/10003774522
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Forecasting aggregate productivity using information from firm-level data
Bartelsman, Eric J.; Wolf, Zoltán - 2009
Persistent link: https://www.econbiz.de/10003851120
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Bayesian inference for multivariate copulas using pair-copula constructions
Min, Aleksey; Czado, Claudia - In: Journal of financial econometrics : official journal of … 8 (2010) 4, pp. 511-546
Persistent link: https://www.econbiz.de/10008665740
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Bayesian inference for discretely sampled Markov processes with closed-form likelihood expansions
Stramer, Osnat; Bognar, Matthew; Schneider, Paul - In: Journal of financial econometrics : official journal of … 8 (2010) 4, pp. 450-480
Persistent link: https://www.econbiz.de/10008665746
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Bayesian estimation of the GARCH (1,1) model with student-t innovations
Ardia, David; Hoogerheide, Lennart F. - 2010
Persistent link: https://www.econbiz.de/10003974018
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Efficient Bayesian estimation and combination of GARCH-type models
Ardia, David; Hoogerheide, Lennart F. - 2010
Persistent link: https://www.econbiz.de/10003974028
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Evidence on a real business cycle model with neutral and investment-specific technology shocks using Bayesian model averaging
Strachan, Rodney W.; Dijk, Herman K. van - 2010
Persistent link: https://www.econbiz.de/10003974036