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Bayesian nonparametric regression models for modeling and predicting healthcare claims

Richardson, Robert; Hartman, Brian - In: Insurance / Mathematics & economics 83 (2018), pp. 1-8

Persistent link: https://www.econbiz.de/10011944089

Bayesian bandwidth estimation for local linear fitting in nonparametric regression models

Shang, Han Lin; Zhang, Xibin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 1, pp. 55-71

Persistent link: https://www.econbiz.de/10013334620

Dynamic quantile function models

Chen, Wilson Ye; Peters, Gareth; Gerlach, Richard H.; … - In: Quantitative finance 22 (2022) 9, pp. 1665-1691

Persistent link: https://www.econbiz.de/10013367940

Adaptive polar sampling with an application to a Bayes measure of value-at-risk

Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - 1999

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlomethod for Bayesian analysis of models with ill-behaved posteriordistributions. In order to sample efficiently from such a distribution,a location-scale transformation and a transformation to polarcoordinates are used. After...

Persistent link: https://www.econbiz.de/10011302625

Assessing macroeconomic tail risks in a data-rich environment

Cook, Thomas R.; Doh, Taeyoung - 2019

Persistent link: https://www.econbiz.de/10012151332

Are systemic risk measures effective? : Evidence from macroeconomic downside risk prediction

Jian, Zhihong; Lu, Haisong; Zhu, Zhican - In: Applied economics letters 31 (2024) 18, pp. 1820-1827

Persistent link: https://www.econbiz.de/10015084409

A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures

Wang, Chao; Gerlach, Richard; Chen, Qian - In: Quantitative finance 23 (2023) 2, pp. 309-334

Persistent link: https://www.econbiz.de/10014232647

Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution

Takahashi, Makoto; Watanabe, Toshiaki; Omori, Yasuhiro - In: International journal of forecasting 32 (2016) 2, pp. 437-457

Persistent link: https://www.econbiz.de/10011597142

Variable selection and functional form uncertainty in cross-country growth regressions

Salimans, Tim - 2011

Regression analyses of cross-country economic growth data are complicated by two main forms of model uncertainty: the … uncertainty in selecting explanatory variables and the uncertainty in specifying the functional form of the regression function …

Persistent link: https://www.econbiz.de/10011382708

Dynamic variable selection in dynamic logistic regression : an application to Internet subscription

Ramírez, Andrés - In: Empirical economics : a journal of the Institute for … 59 (2020) 2, pp. 909-932

Persistent link: https://www.econbiz.de/10012259995