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Bayesian methods applied to time series data

Fomby, Thomas B. (ed.) - 1996

Persistent link: https://www.econbiz.de/10009731807

Essays on finite sample inference and financial econometrics

Bao, Yong - 2004

Persistent link: https://www.econbiz.de/10003386763

Small Sample Bias in GMM Estimation of Covariance Structures

Altonji, Joseph G. - 1994

sampling errors in the second moments are correlated with sampling errors in the weighting matrix used by OMD. Furthermore, OMD …

Persistent link: https://www.econbiz.de/10012474166

Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data

Chambers, Marcus J. - In: Journal of econometrics 217 (2020) 1, pp. 140-160

Persistent link: https://www.econbiz.de/10012482742

Estimating monthly indicators for consumer confidence using structural time series models

Brakel, Jan A. van den; Krieg, Sabine; Smeets, Marc - 2021

Persistent link: https://www.econbiz.de/10012667945

Estimating Low Sampling Frequency Risk Measure by High-Frequency Data

Wesselhöfft, Niels - 2020

Weekly, quarterly and yearly risk measures are crucial for risk reporting according to Basel III and Solvency II. For the respective data frequencies, the authors show in a simulation and back-test study that available data series are not sufficient in order to estimate Value at Risk and...

Persistent link: https://www.econbiz.de/10012827639

Sequential Monte Carlo Sampling for State Space Models

Wuthrich, Mario V. - 2016

The aim of these notes is to revisit sequential Monte Carlo (SMC) sampling. SMC sampling is a powerful simulation tool …

Persistent link: https://www.econbiz.de/10012993836

Precision-based sampling with missing observations : a factor model application

Hauber, Philipp; Schumacher, Christian - 2021

states and model variables, which is sparse and banded in many economic applications and allows for efficient sampling. The … existing literature on precision-based sampling is focused on complete-data applications, whereas the proposed samplers in this …

Persistent link: https://www.econbiz.de/10012510141

Intensive longitudinal data analyses with dynamic structural equation modeling

Zhou, Le; Wang, Mo; Zhang, Zhen - In: Organizational research methods : ORM 24 (2021) 2, pp. 219-250

Persistent link: https://www.econbiz.de/10012492259

Estimation of endogenously sampled time series : the case of commodity price speculation in the steel market

Hall, George J.; Rust, John - In: Journal of econometrics 222 (2021) 1,1, pp. 219-243

Persistent link: https://www.econbiz.de/10012619398

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