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On tree-structured linear and quantile regression-based asset pricing

Galakis, John; Vrontos, Ioannis; Xidonas, Panos - In: Review of accounting & finance 21 (2022) 3, pp. 204-245

Persistent link: https://www.econbiz.de/10013368270

Stochastic framework for carbon price risk estimation of real estate : a Markov switching GARCH simulation approach

Oertel, Cay; Kovaleva, Ekaterina; Gleißner, Werner; … - In: Journal of property investment & finance 40 (2022) 4, pp. 381-397

Persistent link: https://www.econbiz.de/10013370717

Instrumental variables estimation without outside instruments

Tran, Kien C.; Tsionas, Efthymios G. - In: Journal of quantitative economics 20 (2022) 3, pp. 489-506

Persistent link: https://www.econbiz.de/10013441680

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

Comparisons of frequentist and Bayesian inferences for interval estimation on process yield

Wu, Chien-wei; Shu, Ming-Hung; Huang, Ting-Ying; Hsu, Bi-Min - In: Journal of the Operational Research Society 73 (2022) 12, pp. 2694-2705

Persistent link: https://www.econbiz.de/10013533319

Markov Chain Monte Carlo Methods for Parameter Estimation in Multidimensional Continuous Time Markov Switching Models

Hahn, Markus - 2010

econometric estimation of the states for drift and volatility and the rate matrix of the underlying Markov chain, we develop both … approaches with maximum likelihood (ML) estimation. For simulated data, MCMC outperforms ML estimation for difficult cases like …

Persistent link: https://www.econbiz.de/10013149615

Improved marginal likelihood estimation via power posteriors and importance sampling

Li, Yong; Wang, Nianling; Yu, Jun - In: Journal of econometrics 234 (2023) 1, pp. 28-52

Persistent link: https://www.econbiz.de/10014364649

A comparison of neural networks and Bayesian MCMC for the Heston model estimation (forget statistics – machine learning is sufficient!)

Witzany, Jiří; Fičura, Milan - 2023

Persistent link: https://www.econbiz.de/10014338462

Estimating outcomes in the presence of endogeneity and measurement error with an application to R&D

De Silva, Dakshina G.; Hubbard, Timothy P.; Schiller, … - In: The quarterly review of economics and finance : journal … 88 (2023), pp. 278-294

Persistent link: https://www.econbiz.de/10014428069

A generalized linear mixed model for data breaches and its application in cyber insurance

Sun, Meng; Yi, Lu - In: Risks : open access journal 10 (2022) 12, pp. 1-23

Data breach incidents result in severe financial loss and reputational damage, which raises the importance of using insurance to manage and mitigate cyber related risks. We analyze data breach chronology collected by Privacy Rights Clearinghouse (PRC) since 2001 and propose a Bayesian...

Persistent link: https://www.econbiz.de/10014230858