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A Bayesian nonparametric approach to inference for quantile regression

Taddy, Matthew A.; Kottas, Athanasios - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 3, pp. 357-369

Persistent link: https://www.econbiz.de/10008736209

Bayesian treed Gaussian process models with an application to computer modeling

Gramacy, Robert B.; Lee, Herbert K. H. - In: Journal of the American Statistical Association : JASA 103 (2008) 483, pp. 1119-1130

Persistent link: https://www.econbiz.de/10003773116

Timing foreign exchange markets

Malone, Samuel W.; Gramacy, Robert B.; Horst, Enrique ter - In: Econometrics : open access journal 4 (2016) 1, pp. 1-23

To improve short-horizon exchange rate forecasts, we employ foreign exchange market risk factors as fundamentals, and Bayesian treed Gaussian process (BTGP) models to handle non-linear, time-varying relationships between these fundamentals and exchange rates. Forecasts from the BTGP model...

Persistent link: https://www.econbiz.de/10011505885

Convergence of Markov chain Monte Carlo algorithms

Polson, Nicholas G. - 1993

Persistent link: https://www.econbiz.de/10000899197

Markov Chain Monte Carlo

Johannes, Michael; Polson, Nicholas G. - In: Handbook of financial time series, (pp. 1001-1013). 2009

Persistent link: https://www.econbiz.de/10003834286

Particle filtering

Johannes, Michael; Polson, Nicholas G. - In: Handbook of financial time series, (pp. 1015-1029). 2009

Persistent link: https://www.econbiz.de/10003834288

Optimal filtering of jump diffusions : extracting latent states from asset prices

Johannes, Michael S.; Polson, Nicholas G.; Stroud, … - In: The review of financial studies 22 (2009) 7, pp. 2759-2799

Persistent link: https://www.econbiz.de/10003866870

MCMC maximum likelihood for latent state models

Jacquier, Eric; Johannes, Michael; Polson, Nicholas G. - In: Journal of econometrics 137 (2007) 2, pp. 615-640

Persistent link: https://www.econbiz.de/10003442024

Predictive macro-finance with dynamic partition models

Zantedeschi, Daniel; Damien, Paul; Polson, Nicholas G. - In: Journal of the American Statistical Association : JASA 106 (2011) 494, pp. 427-439

Persistent link: https://www.econbiz.de/10009267766

Practical filtering for stochastic volatility models

Stroud, Jonathan R.; Polson, Nicholas G.; Müller, Peter - In: State space and unobserved component models : theory …, (pp. 236-247). 2004

Persistent link: https://www.econbiz.de/10009719923