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Analysis of high dimensional multivariate stochastic volatility models
Chib, Siddhartha; Nardari, Federico; Shephard, Neil - 2006
This paper is concerned with the Bayesian estimation and comparison of flexible, high dimensional multivariate time series models with time varying correlations. The model proposed and considered here combines features of the classical factor model with that of the heavy tailed univariate...
Persistent link: https://www.econbiz.de/10009441545
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Bayesian Generalized Product Partition Model
Dunson, David - 2010
Starting with a carefully formulated Dirichlet process (DP) mixture model, we derive a generalized product partition model (GPPM) in which the partition process is predictor-dependent. The GPPM generalizes DP clustering to relax the exchangeability assumption through the incorporation of...
Persistent link: https://www.econbiz.de/10009475421
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Bayesian Methods for Estimation, Inference and Forecasting of Flexible Models for Value-at-Risk and Tail Conditional Expectations
Chen, Qian - 2011
Forecasting financial risk and risk measurement methods have been of increasing interest for financial market regulators and financial institutions in the past two decades. While the parametric and semi-parametric models have been widely reviewed in the academic literature, the non-parametric...
Persistent link: https://www.econbiz.de/10009480085
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Likelihood-based estimation of latent generalised ARCH structures
Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil - 2004
GARCH models are commonly used as latent processes in econometrics, financial economics, and macroeconomics. Yet no exact likelihood analysis of these models has been provided so far. In this paper we outline the issues and suggest a Markov chain Monte Carlo algorithm which allows the...
Persistent link: https://www.econbiz.de/10009441544
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Trip-Level Analysis of Efficiency Changes in Oregon's Deepwater Trawl Fishery
Tomberlin, David; Holloway, Garth J. - 2007
In 2003, an industry-financed, government-administered buyback of trawl fishing permits and vessels took place on the US West Coast, resulting in the retirement of about one-third of the limited-entry trawl fleet. The lack of cost data in this fishery precludes an analysis of how the buyback has...
Persistent link: https://www.econbiz.de/10009445081
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Three Essays on Bayesian Factor Models
Piatek, Rémi - 2010
The present dissertation consists of three stand-alone research papers that all deal with factor models from a Bayesian perspective, both in a theoretical and an empirical setup. More precisely, the thesis is organized in a progressive way as follows: Chapter 1 briefly presents the general...
Persistent link: https://www.econbiz.de/10009471699
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Bayesian inference for finite mixtures of generalized linear models with random effects
DeSarbo, Wayne S.; Lenk, Peter J. - 2000
assumes that there are relevant subpopulations and that within each subpopulation the individual-level regression coefficients … regression coefficients becomes a finite mixture of normal distributions. This approach combines the flexibility of … that assume normal distributions for the regression parameters. The number of subpopulations is selected to maximize the …
Persistent link: https://www.econbiz.de/10009476617
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Spatial Modeling for Capturing the Effects of Point Sources
Heo, Tae-Young - 2005
The point source is the most common type of source to be modeled for its effect on air pollution. Point sources provide auxiliary information that may impact both the mean and covariance structure of measured responses, but these possible impacts are often overlooked by spatial modelers. In this...
Persistent link: https://www.econbiz.de/10009431162
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Nonparametric Bayes Conditional Distribution Modeling With Variable Selection
Dunson, David - 2009
This article considers a methodology for flexibly characterizing the relationship between a response and multiple predictors. Goals are (1) to estimate the conditional response distribution addressing the distributional changes across the predictor space, and (2) to identify important predictors...
Persistent link: https://www.econbiz.de/10009475527
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Canary Island Tomato Exports: A Structural Analysis of Seasonality
Rodriguez, Gloria Martin; Hernandez, Jose Juan Caceres - 2002
The European tomato market is characterised by a constant process of dynamic adjustment toward the equilibrium. Furthermore, Canary tomato exports cause a high seasonal impact on market prices in the winter period. In these circumstances, an adequate distribution of shipments throughout the...
Persistent link: https://www.econbiz.de/10009443832