Showing 51 - 60 of 5,835
In this paper we show that linear combinations of multivariate skew normal mixtures can be represented as finite mixtures of univariate skew normals. Based on this result we provide an analytical formula for some well known risk measures.
Persistent link: https://www.econbiz.de/10010678732
Persistent link: https://www.econbiz.de/10010008352
We develop a new variational Bayes estimation method for large-dimensional sparse vector autoregressive models with exogenous predictors. Unlike existing Markov chain Monte Carlo (MCMC) and variational Bayes (VB) algorithms, our approach is not based on a structural form representation of the...
Persistent link: https://www.econbiz.de/10013239660
We develop methodology and theory for a general Bayesian approach towards dynamic variable selection in high-dimensional regression models with time-varying parameters. Specifically, we propose a variational inference scheme which features dynamic sparsity-inducing properties so that different...
Persistent link: https://www.econbiz.de/10014345015
Persistent link: https://www.econbiz.de/10009521861
We propose a shrinkage and selection methodology specifically designed for network inference using high dimensional data through a regularised linear regression model with Spike-and-Slab prior on the parameters. The approach extends the case where the error terms are heteroscedastic, by adding...
Persistent link: https://www.econbiz.de/10011976930
Since the advent of Markov chain Monte Carlo (MCMC) methods in the early 1990s, Bayesian methods have been proposed for a large and growing number of applications. One of the main advantages of Bayesian inference is the ability to deal with many different sources of uncertainty, including data,...
Persistent link: https://www.econbiz.de/10012586923
The computational revolution in simulation techniques has shown to become a key ingredient in the field of Bayesian econometrics and opened new possibilities to study complex economic and financial phenomena. Applications include risk measurement, forecasting, assessment of policy effectiveness...
Persistent link: https://www.econbiz.de/10012389851
This Chapter reviews the main classes of models that incorporate volatility, with a focus on the most recent advancements in the financial econometrics literature and on the challenges posed by the increased availability of data. There are limits to the feasibility of all models when the...
Persistent link: https://www.econbiz.de/10012159718
Persistent link: https://www.econbiz.de/10012500976