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Bayesian estimation of an autoregressive model using Markov chain Monte Carlo

Barnett, Glen; Kohn, Robert; Sheather, Simon J. - 1993

Persistent link: https://www.econbiz.de/10000861202

Modelldiagnose in der Bayesschen Inferenz

Vonthein, Reinhard - 1999

Persistent link: https://www.econbiz.de/10000683681

Equilibrium dynamics of ice streams : a Bayesian statistical analysis

Berliner, L. M.; Cressie, Noel A. C.; Jezek, K.; Kim, Y.; … - In: Statistical methods & applications : SMA ; journal of … 17 (2008) 2, pp. 145-165

Persistent link: https://www.econbiz.de/10003715408

Modelling volatility asymmetries : a Bayesian analysis of a class of tree structured multivariate GARCH models

Dellaportas, P.; Vrontos, I. D. - In: The econometrics journal 10 (2007) 3, pp. 503-520

Persistent link: https://www.econbiz.de/10003637597

Generalized Bayesian nonlinear quickest detection problems : on Markov family of sufficient statistics

Širjaev, Alʹbert N. - In: Mathematical control theory and finance, (pp. 377-386). 2008

Persistent link: https://www.econbiz.de/10003755896

Discrete-time stochastic volatility models and MCMC-based statistical inference

Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...