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Bayesian estimation of the GARCH(1,1) model with student-t innovations
Ardia, David; Hoogerheide, Lennart F. - 2010
This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the parsimonious and effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids the tedious task of tuning a MCMC sampling...
Persistent link: https://www.econbiz.de/10011380176
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Semiparametric cross entropy for rare-event simulation
Botev, Zdravko I.; Ridder, Ad; Rojas-Nandayapa, Leonardo - 2013
Persistent link: https://www.econbiz.de/10010191281
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Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - 2019
application is accurate prediction of financial risk measures, where the area of interest is the left tail of the predictive … introduced to further decrease the numerical standard errors of the Value-at-Risk and Expected Shortfall estimators. The third …
Persistent link: https://www.econbiz.de/10012057160
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Flexible negative binomial mixtures for credible mode inference in heterogeneous count data from finance, economics and bioinformatics
Cross, Jamie; Hoogerheide, Lennart; Labonne, Paul; … - 2024
accurate measures of uncertainty and risk which improves prediction and policy analysis using multimodal and asymmetric count …
Persistent link: https://www.econbiz.de/10015062977
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Likelihood-based analysis for dynamic factor models
Jungbacker, Borus; Koopman, Siem Jan - 2008
Persistent link: https://www.econbiz.de/10003645197
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The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008
Persistent link: https://www.econbiz.de/10003739126
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If winning isn't everythink, why do they keep score? : a structural empirical analysis of Dutch flower auctions
Berg, Gerard J. van den; Klaauw, Bas van der - 2007
Persistent link: https://www.econbiz.de/10003482732
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Some exact tests for manifest properties of latent trait models
Gooijer, Jan G. de; Yuan, Ao - 2010
Persistent link: https://www.econbiz.de/10003974011
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An alternative Bayesian approach to structural breaks in time series models
Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick van - 2011
Persistent link: https://www.econbiz.de/10008857052