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A Bayesian analysis of time-varying jump risk in S&P 500 returns and options
Carverhill, Andrew; Luo, Dan - In: Journal of financial markets 64 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014466112
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A BVAR approach to the impact of policy uncertainty on international trade and investment
Dhannur, Vijaykumar; John, Ashwin R. - In: The Indian economic journal 66 (2018) 3/4, pp. 312-325
Persistent link: https://www.econbiz.de/10012390811
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Uncertainty Quantification with R : Bayesian Methods
Cursi, Eduardo Souza de - 2024
-- Bayesian Inference-6 -- Sequential Bayesian Estimation. … includes basic Bayesian probabilities, entropy, Bayesian estimation and decision, sequential Bayesian estimation, and numerical …
Persistent link: https://www.econbiz.de/10014529692
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Measuring Interdependence of Inflation Uncertainty
Lee, Seohyun - 2022
VAR GARCH model. The interdependence of uncertainty is estimated using a probability model. The results imply that the …
Persistent link: https://www.econbiz.de/10014078814
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Economic scenario generator and parameter uncertainty : a bayesian approach
Bégin, Jean-François - In: Astin bulletin : the journal of the International … 49 (2019) 2, pp. 335-372
Persistent link: https://www.econbiz.de/10012056594
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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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Causality between inflation and inflation uncertainty in South Africa: evidence from a Markov-switching vector autoregressive model
Nasr, Adnen Ben; Balcilar, Mehmet; Ajmi, Ahdi Noomen; … - In: Emerging markets review 24 (2015), pp. 46-68
Persistent link: https://www.econbiz.de/10011538531
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The risk-return relationship and volatility feedback in South Africa : a comparative analysis of the parametric and nonparametric Bayesian approach
Dwarika, Nitesha - In: Quantitative finance and economics 7 (2023) 1, pp. 119-146
Persistent link: https://www.econbiz.de/10014279147
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Applying three VaR approaches in measuring market risk of stock portfolio : the case study of VN-30 stock basket in HOSE
Nguyen Quang Thinh; Vo Thi Quy - In: Journal of economic development 24 (2017) 2, pp. 90-113
Persistent link: https://www.econbiz.de/10011804846
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Identifying high-frequency shocks with Bayesian mixed-frequency VARs
Paccagnini, Alessia; Parla, Fabio - 2021
Persistent link: https://www.econbiz.de/10012792759