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Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
Gallant, A. Ronald - In: Journal of econometrics 45 (1990) 1, pp. 141-179
Persistent link: https://www.econbiz.de/10001332076
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A Bayesian chi-squared test for hypothesis testing
Li, Yong; Liu, Xiao-Bin; Yu, Jun - In: Journal of econometrics 189 (2015) 1, pp. 54-69
Persistent link: https://www.econbiz.de/10011502408
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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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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
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A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
Hoogerheide, Lennart; Opschoor, Anne; Dijk, Herman K. van - In: Journal of econometrics 171 (2012) 2, pp. 101-120
Persistent link: https://www.econbiz.de/10009691174
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A new approach to Bayesian hypothesis testing
Li, Yong; Zeng, Tao; Yu, Jun - In: Journal of econometrics 178 (2014) 1, pp. 602-612
Persistent link: https://www.econbiz.de/10010256849
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A flexible predictive density combination for large financial data sets in regular and crisis periods
Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - In: Journal of econometrics 237 (2023) 2,3, pp. 1-12
Persistent link: https://www.econbiz.de/10014471818
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Large stochastic volatility in mean VARs
Cross, Jamie; Hou, Chenghan; Koop, Gary; Poon, Aubrey - In: Journal of econometrics 236 (2023) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
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Deviance information criterion for latent variable models and misspecified models
Li, Yong; Yu, Jun; Zeng, Tao - In: Journal of econometrics 216 (2020) 2, pp. 450-493
Persistent link: https://www.econbiz.de/10012439750
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Nonparametric Bayes subject to overidentified moment conditions
Gallant, A. Ronald - In: Journal of econometrics 228 (2022) 1, pp. 27-38
Persistent link: https://www.econbiz.de/10013441713