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Forecasting financial time series using model averaging
Ravazzolo, Francesco - 2007
Persistent link: https://www.econbiz.de/10003580042
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Data-driven particle filters for Particle Markov Chain Monte Carlo
Leung, Patrick; Forbes, Catherine Scipione; Martin, Gael M. - 2016
Persistent link: https://www.econbiz.de/10011781784
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A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano; Corsi, Fulvio; Mira, Antonietta - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
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Improper priors whith well definded Bayes factors
Strachan, Rodney W. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002637804
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Estimating (Markov-Switching) VAR models without gibbs sampling : a sequential Monte Carlo approach
Bognanni, Mark; Herbst, Edward P. - 2014
Persistent link: https://www.econbiz.de/10010497164
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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
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Bayesian estimation and unit root test for logistic smooth transition autoregressive process
Chaturvedi, Anoop; Jaiswal, Shivam - In: Journal of quantitative economics 18 (2020) 4, pp. 733-745
Persistent link: https://www.econbiz.de/10012418877
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Mid-Price estimation for European corporate bonds : a particle filtering approach
Guéant, Olivier; Pu, Jiang - In: Market microstructure and liquidity 4 (2018) 1/2, pp. 1-28
Persistent link: https://www.econbiz.de/10012256417
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ARMA-GARCH models : Bayes estimation versus MLE, and Bayes non-stationarity test
Nakatsuma, Teruo; Tsurumi, Hiroki - 1996
We compare small-sample properties of Bayes estimation and maximum likelihood estimation (MLE) of ARMA-GARCH models. Our Monte Carlo experiments indicate that in small sample, the Bayes estimator beats the MLE. We also develop a Bayes method of testing strict stationarity and ergodicity of the...
Persistent link: https://www.econbiz.de/10011577178
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Sequential gibbs particle filter algorithm with applications to stochastic volatility and jumps estimation
Witzany, Jiří; Fičura, Milan - In: Finance a úvěr 69 (2019) 5, pp. 463-488
Persistent link: https://www.econbiz.de/10012170648