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Bayesian estimation of bandwidths for a nonparametric regression model with a flexible error density

Zhang, Xibin; King, Maxwell L.; Shang, Han Lin - 2011

We approximate the error density of a nonparametric regression model by a mixture of Gaussian densities with means being the individual error realizations and variance a constant parameter. We investigate the construction of a likelihood and posterior for bandwidth parameters under this...

Persistent link: https://www.econbiz.de/10009406374

A sampling algorithm for bandwidth estimation in a nonparametric regression model with a flexible error density

Zhang, Xibin; King, Maxwell L.; Shang, Han Lin - 2013

Persistent link: https://www.econbiz.de/10010189540

Risk margin quantile function via parametric and non-parametric Bayesian approaches

Dong, Alice X. D.; Chan, Jennifer S. K.; Peters, Gareth W. - In: Astin bulletin : the journal of the International … 45 (2015) 3, pp. 503-550

Persistent link: https://www.econbiz.de/10011397246

Semiparametric GARCH via Bayesian model averaging

Chen, Wilson Ye; Gerlach, Richard H. - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 437-452

Persistent link: https://www.econbiz.de/10012499090

Bayesian bandwidth estimation for local linear fitting in nonparametric regression models

Shang, Han Lin; Zhang, Xibin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 1, pp. 55-71

Persistent link: https://www.econbiz.de/10013334620

Adaptive Bayesian estimation of conditional discrete-continuous distributions with an application to stock market trading activity

Norets, Andriy; Pelenis, Justinas - In: Journal of econometrics 230 (2022) 1, pp. 62-82

Persistent link: https://www.econbiz.de/10013441915

A Bayesian semiparametric analysis of ARCH models

Kozumi, Hideo; Polasek, Wolfgang - In: Optimization, dynamics, and economic analysis : essays …, (pp. 389-400). 2000

Persistent link: https://www.econbiz.de/10001497195

An empirical analysis of growth volatility : a Markov chain approach

Fiaschi, Davide; Lavezzi, Andrea Mario - In: New tools of economic dynamics, (pp. 319-334). 2005

Persistent link: https://www.econbiz.de/10003029137

Semi-parametric financial risk forecasting incorporating multiple realized measures

Peiris, Rangika; Wang, Chao; Gerlach, Richard; … - In: Quantitative finance 24 (2024) 12, pp. 1823-1837

Persistent link: https://www.econbiz.de/10015196974

Fast and order-invariant inference in Bayesian VARs with nonparametric shocks

Huber, Florian; Koop, Gary - In: Journal of applied econometrics 39 (2024) 7, pp. 1301-1320

Persistent link: https://www.econbiz.de/10015156859