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Panel data tests of return models with applications to global stock returns
Hjalmarsson, Erik - 2005
Persistent link: https://www.econbiz.de/10003553376
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The predictive density simulation of the yield curve with a zero lower bound
Kang, Kyu Ho - In: Journal of empirical finance 33 (2015), pp. 51-66
Persistent link: https://www.econbiz.de/10011556848
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General Bayesian time-varying parameter VARs for modeling government bond yields
Fischer, Manfred M.; Hauzenberger, Niko; Huber, Florian; … - 2022
Persistent link: https://www.econbiz.de/10012498662
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System-wide tail comovements : a bootstrap test for cojump identification on the S&P 500, US bonds and currencies
Gnabo, Jean-Yves; Hvozdyk, Lyudmyla; Lahaye, Jérôme - In: Journal of international money and finance 48 (2014), pp. 147-174
Persistent link: https://www.econbiz.de/10010464002
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Bayesian estimation of NIG-parameters by Markov chain Monte Carlo methods
Lillestøl, Jostein - 2000
Persistent link: https://www.econbiz.de/10001582162
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Estimation of continuous-time models for stock returns and interest rates
Gallant, A. Ronald - In: Macroeconomic dynamics 1 (1997) 1, pp. 135-168
Persistent link: https://www.econbiz.de/10001337436
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Parameter estimation for stock models with non-constant volatility using Markov chain Monte Carlo methods
Hahn, Markus; Putschögl, Wolfgang; Sass, Jörn - In: Operations research proceedings 2006 : selected papers …, (pp. 227-232). 2007
Persistent link: https://www.econbiz.de/10003470697
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Better risk and performance estimates with factor-model Monte Carlo
Jiang, Yindeng; Martin, Doug - In: Journal of risk 17 (2014/2015) 5, pp. 29-67
Persistent link: https://www.econbiz.de/10011438893
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Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods
Lillestøl, Jostein - 2000 - Rev.
alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of …
Persistent link: https://www.econbiz.de/10009612011
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Bayesian estimation for high-frequency volatility models in a time deformed framework
Santos, Antonio A. F. - In: Computational economics 57 (2021) 2, pp. 455-479
Persistent link: https://www.econbiz.de/10012486920