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The composite marginal likelihood (CML) inference approach
Bhat, Chandra R. - 2014
Persistent link: https://www.econbiz.de/10010423780
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On composite marginal likelihoods
Varin, Cristiano - In: Advances in statistical analysis : AStA ; a journal of … 92 (2008) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10003649955
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Bayesian nonparametrics for financial volatility modeling
Zaharieva, Martina Danielova - 2017
Persistent link: https://www.econbiz.de/10012200829
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Bayesian semiparametric forecasts of real interest rate data
Deschamps, Philippe J. - 2016
Persistent link: https://www.econbiz.de/10011894459
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A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
Ausín, M. Concepción; Galeano, Pedro; Ghosh, Pulak - In: European journal of operational research : EJOR 232 (2014) 2, pp. 350-358
Persistent link: https://www.econbiz.de/10010224698
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Bayesian nonparametric covariance estimation with noisy and nonsynchronous asset prices
Liu, Jia - In: Journal of risk 24 (2021) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10012816791
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Bayesian nonparametric panel Markov-switching GARCH models
Casarin, Roberto; Costantini, Mauro; Osuntuyi, Anthony - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 1, pp. 135-146
Persistent link: https://www.econbiz.de/10014449842
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A Bayesian quantile time series model for asset returns
Griffin, Jim E.; Mitrodima, Gelly - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 16-27
Persistent link: https://www.econbiz.de/10012804077
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The VAR-VARCH model : a Bayesian approach
Polasek, Wolfgang; Kozumi, Hideo - 1995
Persistent link: https://www.econbiz.de/10000911268
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Markov chain Monte Carlo in state space models
Carter, Chris K.; Kohn, Robert - 1993
Persistent link: https://www.econbiz.de/10000878114