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Bayesian predictive distributions of oil returns using mixed data sampling volatility models
Virbickaite, Audrone; Nguyen, Hoang; Minh-Ngoc Tran - 2023
Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …
Persistent link: https://www.econbiz.de/10014252427
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How to pick the best regression equation : a review and comparison of model selection algorithms
Castle, Jennifer; Qin, Xiaochuan; Reid, W. Robert - 2009
Persistent link: https://www.econbiz.de/10008667753
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Using model selection algorthims to obtain reliable coefficient estimates
Castle, Jennifer; Qin, Xiaochuan; Reid, W. Robert - 2011
Persistent link: https://www.econbiz.de/10009012239
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A Dirichlet Process Mixture regression model for the analysis of competing risk events
Ungolo, Francesco; Heuvel, Edwin van den - 2023
Persistent link: https://www.econbiz.de/10014458575
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An Augmented Variable Dirichlet Process Mixture model for the analysis of dependent lifetimes
Ungolo, Francesco - 2023
Persistent link: https://www.econbiz.de/10014458810
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DSGE priors for BVAR models
Filippeli, Thomai; Theodoridis, Konstantinos - 2014
comparable - if not better - to the one obtained using theory free "Minnesota" priors (Doan et al., 1984). Additionally, the … marginal-likelihood of the time-series model with theory founded priors - derived from the output of the Gibbs sampler - can be …
Persistent link: https://www.econbiz.de/10010339762
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Specification and estimation of Bayesian dynamic factor models : a Monte Carlo analysis with an application to global house price comovement
Jackson, Laura E.; Kose, M. Ayhan; Otrok, Christopher M.; … - 2015
Persistent link: https://www.econbiz.de/10011392890
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Asymmetry and long memory in volatility modelling
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - 2010 - Rev.
Persistent link: https://www.econbiz.de/10008695596
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A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2015
This paper proposes a regularisation method for the estimation of large covariance matrices that uses insights from the multiple testing (MT) literature. The approach tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...
Persistent link: https://www.econbiz.de/10011405221
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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns
Kapetanios, George (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002808264