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Bayesian semiparametric stochastic volatility modeling
Jensen, Mark J.; Maheu, John M. - In: Journal of econometrics 157 (2010) 2, pp. 306-316
Persistent link: https://www.econbiz.de/10008663011
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Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
Jensen, Mark J.; Maheu, John M. - In: Journal of econometrics 178 (2014) 1, pp. 523-538
Persistent link: https://www.econbiz.de/10010256874
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Cross-validated SNP density estimates
Coppejans, Mark; Gallant, A. Ronald - In: Journal of econometrics 110 (2002) 1, pp. 27-65
Persistent link: https://www.econbiz.de/10001689441
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Priors, posteriors and bayes factors for a Bayesian analysis of cointegration
Kleibergen, Frank; Paap, Richard - In: Journal of econometrics 111 (2002) 2, pp. 223-249
Persistent link: https://www.econbiz.de/10001715745
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Bayesian and classical approaches to instrumental variable regression
Kleibergen, Frank; Zivot, Eric - In: Journal of econometrics 114 (2003) 1, pp. 29-72
Persistent link: https://www.econbiz.de/10001738916
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Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors
Fisher, Mark; Jensen, Mark J. - In: Journal of econometrics 210 (2019) 1, pp. 187-202
Persistent link: https://www.econbiz.de/10012303393
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Forecasting structural change and fat-tailed events in Australian macroeconomic variables
Cross, Jamie; Poon, Aubrey - In: Economic modelling 58 (2016), pp. 34-51
Persistent link: https://www.econbiz.de/10011647028
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Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
Gallant, A. Ronald; Tauchen, George Eugene - In: Journal of econometrics 205 (2018) 1, pp. 140-155
Persistent link: https://www.econbiz.de/10012110246
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Do bubbles have an explosive signature in markov switching models?
Balcombe, Kelvin G.; Fraser, Iain M. - In: Economic modelling 66 (2017), pp. 81-100
Persistent link: https://www.econbiz.de/10011813660
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Bayesian estimation of state space models using moment conditions
Gallant, A. Ronald; Giacomini, Raffaella; Ragusa, Giuseppe - In: Journal of econometrics 201 (2017) 2, pp. 198-211
Persistent link: https://www.econbiz.de/10011918691