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Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors

Fisher, Mark; Jensen, Mark J. - 2018

Change point models using hierarchical priors share in the information of each regime when estimating the parameter values of a regime. Because of this sharing, hierarchical priors have been very successful when estimating the parameter values of short-lived regimes and predicting the...

Persistent link: https://www.econbiz.de/10011798456

Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors

Fisher, Mark - 2020

Persistent link: https://www.econbiz.de/10012852769

Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors

Fisher, Mark; Jensen, Mark J. - In: Journal of econometrics 210 (2019) 1, pp. 187-202

Persistent link: https://www.econbiz.de/10012303393

Bayesian semiparametric modeling of realized covariance matrices

Jin, Xin; Maheu, John M. - In: Journal of econometrics 192 (2016) 1, pp. 19-39

Persistent link: https://www.econbiz.de/10011610652

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

Do high-frequency measures of volatility improve forecasts of return distributions?

Maheu, John M.; McCurdy, Thomas H. - In: Journal of econometrics 160 (2011) 1, pp. 69-76

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How useful are historical data for forecasting the long-run equity return distribution?

Maheu, John M.; McCurdy, Thomas H. - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 1, pp. 95-112

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A new structural break model, with an application to Canadian inflation forecasting

Maheu, John M.; Song, Yong - In: International journal of forecasting 30 (2013) 1, pp. 144-160

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Components of market risk and return

Maheu, John M.; McCurdy, Thomas H. - In: Journal of financial econometrics : official journal of … 5 (2007) 4, pp. 560-590

Persistent link: https://www.econbiz.de/10003570729

News arrival, jump dynamics, and volatility components for individual stock returns

Maheu, John M.; McCurdy, Thomas H. - In: The journal of finance : the journal of the American … 59 (2004) 2, pp. 755-793

Persistent link: https://www.econbiz.de/10002013824