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1
Bayesian unit root inference in the Hamilton model
Hoek, Henk
;
Paap, Richard
-
1994
Persistent link: https://www.econbiz.de/10000560205
Saved in:
2
Classical and Bayesian aspects of robust unit root inference
Hoek, Henk
;
Lucas, André
;
Dijk, Herman K. van
-
1993
Persistent link: https://www.econbiz.de/10000151638
Saved in:
3
On uniformization for continuous-time Markov chains
Dijk, Nicolaas M. van
-
1994
Persistent link: https://www.econbiz.de/10000151649
Saved in:
4
Nonstationarity in GARCH models : a Bayesian analysis
Kleibergen, Frank
;
Dijk, Herman K. van
-
1993
Persistent link: https://www.econbiz.de/10000122477
Saved in:
5
Testing for integration using evolving trend and seasonals models : a Bayesian approach
Koop, Gary
;
Dijk, Herman K. van
-
1999
In this paper, we make use of state space models toinvestigate the presence of stochastic trends in economic time series. Amodel is specified where such a trend can enter either in the autoregressiverepresentation or in a separate state equation. Tests based on the formerare analogous to...
Persistent link: https://www.econbiz.de/10011302135
Saved in:
6
Comprehensive definitions of breakdown-points for independent and dependent observations
Genton, Marc G.
;
Lucas, André
-
2000
-series, spatial
statistics
) where currenty breakdown definitions typically fail. We illustrate our points using examples from linear … and non-linear regression as well as time-series and spatial
statistics
. …
Persistent link: https://www.econbiz.de/10011303297
Saved in:
7
The Bayesian score statistic
Kleibergen, Frank
;
Kleijn, Richard
;
Paap, Richard
-
2000
estimators and Bayesianposteriordistributions based on Jeffreys' priors, towards score
statistics
. Weillustrate the BSS as a …
Persistent link: https://www.econbiz.de/10011303302
Saved in:
8
Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices
Gatarek, Lukasz
;
Hoogerheide, Lennart F.
;
Dijk, Herman …
-
2014
In this paper we consider two cases of pairs trading strategies: a conditional statistical arbitrage method and an implicit statistical arbitrage method. We use a simulation-based Bayesian procedure for predicting stable ratios, defined in a cointegration model, of pairs of stock prices. We show...
Persistent link: https://www.econbiz.de/10010259626
Saved in:
9
Testing for integration using evolving trend and seasonals models : a Bayesian approach
Koop, Gary
;
Dijk, Herman K. van
;
Hoek, Henk
-
1997
In this paper, we make use of state space models to investigate the presence of stochastic trends in economic time series. A model is specified where such a trend can enter either in the autoregressive representation or in a separate state equation. Tests based on the former are analogous to...
Persistent link: https://www.econbiz.de/10010338455
Saved in:
10
The Bayesian score statistic
Kleibergen, Frank
;
Kleijn, Richard
;
Paap, Richard
-
2000
Persistent link: https://www.econbiz.de/10001471436
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