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General Bayesian time-varying parameter VARs for modeling government bond yields

Fischer, Manfred M.; Hauzenberger, Niko; Huber, Florian; … - 2022

Persistent link: https://www.econbiz.de/10012498662

Joint Bayesian analysis of oarameters and states in nonlinear non‐Gaussian state space models

Barra, István; Hoogerheide, Lennart; Koopman, Siem Jan; … - In: Journal of applied econometrics 32 (2017) 5, pp. 1003-1026

Persistent link: https://www.econbiz.de/10011862307

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

A structural model for estimating losses associated with the mis-selling of retail banking products

Yan, Huan; Wood, Richard M. - In: The journal of operational risk 12 (2017) 2, pp. 69-87

Persistent link: https://www.econbiz.de/10011775519

Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules

Zhu, Yanli; Chen, Haiqiang; Lin, Ming - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 5, pp. 1-17

Persistent link: https://www.econbiz.de/10012198389

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

In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction volume and duration of price variations in stock markets....

Persistent link: https://www.econbiz.de/10014581582