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Essays on Bayesian econometrics

Radchenko, Stanislav - 2002

Persistent link: https://www.econbiz.de/10003780474

Finite-sample properties of GARCH models in the presence of time-varying unconditional variance : a simulation story

Old, Oliver - 2020

Persistent link: https://www.econbiz.de/10012149432

Detecting sudden changes in volatility estimated from high, low and closing prices

Kumar, Dilip; Maheswaran, S. - In: Economic modelling 31 (2013), pp. 484-491

Persistent link: https://www.econbiz.de/10009730777

Robust inference in single firm/single event analyses

Elsas, Ralf; Schoch, Daniela - In: The journal of corporate finance : contracting, … 80 (2023), pp. 1-26

Persistent link: https://www.econbiz.de/10014365119

Estimating Changing Volatility in Cash Flow Simulation Based Real Option Valuation with Regression Sum of Squares Error Method

Haahtela, Tero J. - 2011

This paper presents a practical volatility estimation method for cash flow simulation based real option valuation with … changing volatility. During cash flow simulation, present value of the future cash flows and their corresponding cash flow … over time. The method is computationally efficient because it requires only one pass of simulation runs regardless of the …

Persistent link: https://www.econbiz.de/10013123815

On importance sampling for state space models

Jungbacker, Borus; Koopman, Siem Jan - 2005

and smoother and the simulation smoother which do not rely on a linear Gaussian observation equation. Furthermore, results …

Persistent link: https://www.econbiz.de/10011348357

Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models

Koopman, Siem Jan; Lucas, André; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 114-127

Persistent link: https://www.econbiz.de/10011389921

Sudden breaks in drift-independent volatility estimator based on multiple periods open, high, low, and close prices

Kumar, Dilip - In: IIMB management review 28 (2016) 1, pp. 31-42

Persistent link: https://www.econbiz.de/10011508738

Sign restrictions and statistical identification under volatility breaks : simulation based evidence and an empirical application to monetary policy analysis ; conference paper

Herwartz, Helmut; Plödt, Martin - 2014

Apart from a priori assumptions on instantaneous or long run effects of structural shocks, sign restrictions have become a prominent means for structural vector autoregressive (SVAR) analysis. Moreover, second order heterogeneity of systems of times series can be fruitfully exploited for...

Persistent link: https://www.econbiz.de/10010482469

Value at risk models in Indian markets : a predictive ability evaluation study

Goel, Kushagra; Oswal, Sunny - In: Theoretical economics letters 9 (2019) 8, pp. 2824-2838

Persistent link: https://www.econbiz.de/10012214623

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