In this paper we present a Gibbs sampler for a Poisson model including spatial effects. Frühwirth-Schnatter and Wagner (2004b) show that by data augmentation via the introduction of two sequences of latent variables a Poisson regression model can be transformed into a normal linear model. We...

In this paper we present and evaluate a Gibbs sampler for a Poisson regression model including spatial effects. The approach is based on Frühwirth-Schnatter and Wagner (2004b) who show that by data augmentation using the introduction of two sequences of latent variables a Poisson regression...

We present two alternative approaches for estimating VaR. Both approaches are based on the observation that each trading day is very diverse and we can observe K different phases of the trading day. We can not observe from which of the K phases our observations rt are. Therefore, we apply Gibbs...

This paper provides a structural empirical analysis of Dutch auctions of houseplants at the flower auction in Aalsmeer, the Netherlands. The data set is unique for Dutch auctions in the sense that it includes observations of all losing bids in an interval adjacent to the winning bid. The size of...