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Efficient Bayesian parameter estimation
Frühwirth-Schnatter, Sylvia - In: State space and unobserved component models : theory …, (pp. 123-151). 2004
Persistent link: https://www.econbiz.de/10009719927
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How sensitive are VAR forecasts to prior hyperparameters? : an automated sensitivity analysis
Chan, Joshua; Jacobi, Liana; Zhu, Dan - 2019
Persistent link: https://www.econbiz.de/10012244156
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Bayesian estimation of the Heston volatility model
Frühwirth-Schnatter, Sylvia; Sögner, Leopold - In: Operations research proceedings 2002 : selected papers …, (pp. 480-485). 2003
Persistent link: https://www.econbiz.de/10001752050
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Capturing unobserved consumer heterogeneity using the Bayesian heterogeneity model
Frühwirth-Schnatter, Sylvia; Tüchler, Regina; Otter, … - In: Adaptive information systems and modelling in economics …, (pp. 57-70). 2005
Persistent link: https://www.econbiz.de/10003319808
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Non-linear volatility modeling in classical and Bayesian frameworks with applications to risk management
Miazhynskaia, Tatiana; Dockner, Engelbert J.; … - In: Adaptive information systems and modelling in economics …, (pp. 73-98). 2005
Persistent link: https://www.econbiz.de/10003319811