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Regime-switching energy price volatility : the role of economic policy uncertainty

Scarcioffolo, Alexandre Ribeiro; Etienne, Xiaoli Liao - In: International review of economics & finance : IREF 76 (2021), pp. 336-356

Persistent link: https://www.econbiz.de/10013175825

River water quality modelling and simulation based on Markov Chain Monte Carlo computation and Bayesian inference model

Sahoo, Mrunmayee Manjari; Patra, Kanhu Charan - In: African journal of science, technology, innovation and … 12 (2020) 6, pp. 771-785

Persistent link: https://www.econbiz.de/10012308359

An analysis and implementation of the hidden Markov model to technology stock prediction

Nguyen, Nguyet - In: Risks : open access journal 5 (2017) 4, pp. 1-16

, based on their historical data. We first use the Akaike information criterion (AIC) and Bayesian information criterion (BIC …

Persistent link: https://www.econbiz.de/10011783757

Bayesian estimation of the GARCH(1,1) model with student-t innovations

Ardia, David; Hoogerheide, Lennart F. - 2010

This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the …

Persistent link: https://www.econbiz.de/10011380176

Regime-switching cointegration

Jochmann, Markus; Koop, Gary - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 35-48

Persistent link: https://www.econbiz.de/10011311202

Markov chain Monte Carlo in Bayesian models for testing gamma and lognormal S-type process qualities

Liao, Mou-Yuan - In: International journal of production research 54 (2016) 23/24, pp. 7491-7503

Persistent link: https://www.econbiz.de/10011566617

Scenario generation for IFRS9 purposes using a Bayesian MS-VAR model

Kuchta, Michal - 2021

approach using a Bayesian MS-VAR which is net of these arbitrary components. This method allows for the consistent …

Persistent link: https://www.econbiz.de/10012496739

Identification of business cycles and the Great Moderation in the post-war U.S. economy

Jiang, Yu - In: Economics letters 190 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012228144

Time series analysis of the US term structure of interest rates using a Bayesian Markov switching cointegration model

Sugita, Katsuhiro - In: International journal of economics and finance 9 (2017) 3, pp. 49-56

Persistent link: https://www.econbiz.de/10011642177

Space-varying regression models : specifications and simulation

Gamerman, Dani; Moreira, Ajax; Rue, Håvard - 2015

Space-varying regression models are generalizations of standard linear models where the regression coefficients are allowed to change in space. The spatial structure is specified by a multivariate extension of pairwise difference priors thus enabling incorporation of neighboring structures and...

Persistent link: https://www.econbiz.de/10012007896