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When long memory meets the Kalman filter: A comparative study

Grassi, Stefano; Santucci de Magistris, Paolo - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 301-319

The finite sample properties of the state space methods applied to long memory time series are analyzed through Monte Carlo simulations. The state space setup allows to introduce a novel modeling approach in the long memory framework, which directly tackles measurement errors and random level...

Persistent link: https://www.econbiz.de/10010871486

It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model

Grassi, Stefano; Santucci de Magistris, Paolo - In: Journal of Empirical Finance 30 (2015) C, pp. 62-78

The persistent nature of equity volatility is investigated by means of a multi-factor stochastic volatility model with time varying parameters. The parameters are estimated by means of a sequential matching procedure which adopts as an auxiliary model a time-varying generalization of the HAR...

Persistent link: https://www.econbiz.de/10011208487

On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural network...

Hoogerheide, Lennart F.; Kaashoek, Johan F.; van Dijk, … - In: Journal of econometrics 139 (2007) 1, pp. 154-180

Persistent link: https://www.econbiz.de/10007734930

Bayesian estimates of equation system parameters : an application of integration by Monte Carlo

Kloek, Teun; Dijk, Herman K. van - In: Bayesian analysis in econometrics and statistics : …, (pp. 311-329). 1980

Persistent link: https://www.econbiz.de/10002220989

Efficient estimation of income distribution parameters

Kloek, Teun; Dijk, Herman K. van - In: Journal of econometrics 8 (1978) 1, pp. 61-74

Persistent link: https://www.econbiz.de/10002221035

Inferential procedures in stable distributions for class frequency data on incomes

Dijk, Herman K. van; Kloek, Teun - In: Econometrica : journal of the Econometric Society, an … 48 (1980) 5, pp. 1139-1148

Persistent link: https://www.econbiz.de/10002084550

A Klein-I. modell a posteriori elemzése

Dijk, Herman K. van; Kloek, Teun - In: Szigma : matematikai közgazdasági folyóirat 13 (1980) 3, pp. 121-142

Persistent link: https://www.econbiz.de/10002084581

Predictive moments of simultaneous econometric models : a Bayesian approach

Dijk, Herman K. van; Kloek, Teun - In: New developments in the applications of Bayesian …, (pp. 243-260). 1977

Persistent link: https://www.econbiz.de/10002084621

Efficient Sampling from Non-Standard Distributions Using Neural NetworkApproximations

Hoogerheide, Lennart F.; Kaashoek, Johan F.; Dijk, … - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005345479

Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann

Hoogerheide, Lennart F.; Ravazzolo, Francesco; Dijk, … - Tinbergen Institute - 2011

Patton and Timmermann (2011, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', <I>Journal of Business & Economic Statistics</I>, forthcoming) propose a set of useful tests for forecast rationality or optimality under squared error loss, including an easily implemented test based on a...</i>

Persistent link: https://www.econbiz.de/10009322510