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On the practice of Bayesian inference in basic economic time series models using Gibbs sampling

Pooter, Michiel de; Segers, Rene; Dijk, Herman K. van - 2006

Several lessons learned from a Bayesian analysis of basic economic time series models by means of the Gibbs sampling …

Persistent link: https://www.econbiz.de/10011349180

A flexible predictive density combination for large financial data sets in regular and crisis periods

Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2022

A flexible predictive density combination is introduced for large financial data sets which allows for model set incompleteness. Dimension reduction procedures that include learning allocate the large sets of predictive densities and combination weights to relatively small subsets. Given the...

Persistent link: https://www.econbiz.de/10013332662

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

Exploring multisource high-dimensional mixed-frequency risks in the stock market : a group penalized reverse unrestricted mixed data sampling approach

Zhuo, Xingxuan; Luo, Shunfei; Cao, Yan - In: Journal of forecasting 44 (2025) 2, pp. 459-473

Persistent link: https://www.econbiz.de/10015374052

A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection

Jiang, Cuixia; Ding, Xiaoyi; Xu, Qifa; Tong, Yongbo - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012659611

On Importance Sampling for State Space Models

Jungbacker, Borus; Koopman, Siem Jan - 2006

We consider likelihood inference and state estimation by means of importance sampling for state space models with a … are presented that lead to a more effective implementation of importance sampling for state space models. An illustration …

Persistent link: https://www.econbiz.de/10014060268

Testing for non-correlation between price and volatility jumps

Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot - In: Journal of econometrics 197 (2017) 2, pp. 284-297

Persistent link: https://www.econbiz.de/10011818360

On the finite sample size and power of the generallized KPSS test in the presence of level breaks

Sephton, Peter S. - In: Applied economics letters 15 (2008) 10/12, pp. 833-843

Persistent link: https://www.econbiz.de/10003785755

On importance sampling for state space models

Jungbacker, Borus; Koopman, Siem Jan - 2005

Persistent link: https://www.econbiz.de/10003248123

Marginal Likelihood Estimation with the Cross-Entropy Method

Chan, Joshua; Eisenstat, Eric - 2012

We consider an adaptive importance sampling approach to estimating the marginal likelihood, a quantity that is … importance sampling approach is that random samples can be obtained from some convenient density with little additional costs. As … method is grounded in information theory, and therefore, is in a well-defined sense optimal. We demonstrate the utility of …

Persistent link: https://www.econbiz.de/10014169831