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Using mixtures of flexible functional forms to estimate factor demand elasticities

Gordon, Stephen F. - In: The Canadian journal of economics 29 (1996) 3, pp. 717-736

Persistent link: https://www.econbiz.de/10001210468

Asset returns and state-dependent risk preferences

Gordon, Stephen F.; St.-Amour, Pascal - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 3, pp. 241-252

Persistent link: https://www.econbiz.de/10002135486

Bayesian evaluation of preference specifications

Gordon, Stephen F.; Samson, Lucie; Carmichael, Benoît - 1994

Persistent link: https://www.econbiz.de/10000916985

Bayesian semiparametric stochastic volatility modeling

Jensen, Mark J. (contributor); Maheu, John M. (contributor) - 2008

Persistent link: https://www.econbiz.de/10003732185

Bayesian semiparametric stochastic volatility modeling

Jensen, Mark J.; Maheu, John M. - In: Journal of econometrics 157 (2010) 2, pp. 306-316

Persistent link: https://www.econbiz.de/10008663011

Forecasting realized volatility : a Bayesian model-averaging approach

Liu, Chun; Maheu, John M. - In: Journal of applied econometrics 24 (2009) 5, pp. 709-733

Persistent link: https://www.econbiz.de/10003931571

Bayesian semiparametric multivariate GARCH modeling

Jensen, Mark J.; Maheu, John M. - In: Journal of econometrics 176 (2013) 1, pp. 3-17

Persistent link: https://www.econbiz.de/10009764412

Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models

Burda, Martin; Maheu, John M. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 4, pp. 345-372

Persistent link: https://www.econbiz.de/10009787988

Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture

Jensen, Mark J.; Maheu, John M. - In: Journal of econometrics 178 (2014) 1, pp. 523-538

Persistent link: https://www.econbiz.de/10010256874

Risk, return, and volatility feedback : a Bayesian nonparametric analysis

Jensen, Mark J.; Maheu, John M. - 2014

The relationship between risk and return is one of the most studied topics in finance. The majority of the literature is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the contemporaneous relationship between market excess...

Persistent link: https://www.econbiz.de/10010365633