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A Bayesian nonparametric approach to inference for quantile regression
Taddy, Matthew A.; Kottas, Athanasios - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 3, pp. 357-369
Persistent link: https://www.econbiz.de/10008736209
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Bayesian treed Gaussian process models with an application to computer modeling
Gramacy, Robert B.; Lee, Herbert K. H. - In: Journal of the American Statistical Association : JASA 103 (2008) 483, pp. 1119-1130
Persistent link: https://www.econbiz.de/10003773116
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Timing foreign exchange markets
Malone, Samuel W.; Gramacy, Robert B.; Horst, Enrique ter - In: Econometrics : open access journal 4 (2016) 1, pp. 1-23
To improve short-horizon exchange rate forecasts, we employ foreign exchange market risk factors as fundamentals, and Bayesian treed Gaussian process (BTGP) models to handle non-linear, time-varying relationships between these fundamentals and exchange rates. Forecasts from the BTGP model...
Persistent link: https://www.econbiz.de/10011505885
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Markov Chain Monte Carlo
Johannes, Michael; Polson, Nicholas G. - In: Handbook of financial time series, (pp. 1001-1013). 2009
Persistent link: https://www.econbiz.de/10003834286
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MCMC methods for continuous-time financial econometrics
Johannes, Michael; Polson, Nicholas G. - 2010
Persistent link: https://www.econbiz.de/10003900732
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Bayesian instrumental variables : priors and likelihoods
Lopes, Hedibert Freitas; Polson, Nicholas G. - In: Econometric reviews 33 (2014) 1/4, pp. 100-121
Persistent link: https://www.econbiz.de/10010358369
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Bayesian analysis of stochastic volatility models
Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 1, pp. 69-87
Persistent link: https://www.econbiz.de/10001639881
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Bayesian portfolio selection : an empirical analysis of the S&P 500 index 1970 - 1996
Polson, Nicholas G.; Tew, Bernard V. - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 2, pp. 164-173
Persistent link: https://www.econbiz.de/10001469570
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Comment: Bayesian multinominal probit models with a normalization constraint
Nobile, Agostino - In: Journal of econometrics 99 (2000) 2, pp. 335-345
Persistent link: https://www.econbiz.de/10001514222
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Models and priors for multivariate stochastic volatility
Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E. - 1995 - Rev
Persistent link: https://www.econbiz.de/10000925647