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The time-varying evolution of inflation risks
Korobilis, Dimitris; Landau, Bettina; Musso, Alberto; … - 2021
This paper develops a Bayesian quantile regression model with time-varying parameters (TVPs) for forecasting in ation risks. The proposed parametric methodology bridges the empirically established benefits of TVP regressions for forecasting in ation with the ability of quantile regression to...
Persistent link: https://www.econbiz.de/10012643282
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Combining internal data with scenario analysis
Karam, Elias; Planchet, Frédéric - In: Modern economy 6 (2015) 5, pp. 563-577
Persistent link: https://www.econbiz.de/10011384471
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Modeling high-frequency financial data using R and Stan : a bayesian autoregressive conditional duration approach
Tabash, Mosab I.; Navas, T. Muhammed; Thayyib, P. V.; … - In: Journal of open innovation : technology, market, and … 10 (2024) 2, pp. 1-16
statistical inference, and the simulation uses the Hamiltonian Monte Carlo (HMC) algorithm of Markov Chain Monte Carlo (MCMC) to …
Persistent link: https://www.econbiz.de/10014581582
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Flexible modeling of dependence in volatility processes
Kalli, Maria; Griffin, Jim - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 102-113
Persistent link: https://www.econbiz.de/10011389911
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Density-tempered marginalized sequential Monte Carlo samplers
Duan, Jin-Chuan; Fulop, Andras - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 2, pp. 192-202
Persistent link: https://www.econbiz.de/10011390012
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Estimating a DSGE model for Japan in a data-rich environment
Iiboshi, Hirokuni; Matsumae, Tatsuyoshi; Namba, Ryoichi; … - In: Journal of the Japanese and international economies : … 36 (2015), pp. 25-55
Persistent link: https://www.econbiz.de/10011380592
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Markov chain Monte Carlo for incomplete information discrete games
Misra, Sanjog - In: Quantitative marketing and economics : QME 11 (2013) 1, pp. 117-153
Persistent link: https://www.econbiz.de/10009744663
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DSGE models with student-t errors
Chib, Siddhartha; Ramamurthy, Srikanth - In: Econometric reviews 33 (2014) 1/4, pp. 152-171
Persistent link: https://www.econbiz.de/10010358321
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Exact inference for Value-at-Risk
Rhee, Hongjai - In: The empirical economics letters : a monthly … 12 (2013) 9, pp. 967-974
Persistent link: https://www.econbiz.de/10010362324
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Empirical hierarchical modelling for count data using the spatial random effects model
Sengupta, Aritra; Cressie, Noel A. C. - In: Spatial economic analysis : the journal of the Regional … 8 (2013) 3, pp. 389-418
Persistent link: https://www.econbiz.de/10010202694