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State-dependent effects of fiscal policy

Fazzari, Steven M.; Morley, James C.; Panovska, Irina - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 3, pp. 285-315

Persistent link: https://www.econbiz.de/10011317161

Payout yield, risk, and mispricing : a Bayesian analysis

Shanken, Jay; Tamayo, Ane - In: Journal of financial economics 105 (2012) 1, pp. 131-152

Persistent link: https://www.econbiz.de/10009622431

Treatment effects : a Bayesian perspective

Heckman, James J.; Lopes, Hedibert Freitas; Piatek, Rémi - In: Econometric reviews 33 (2014) 1/4, pp. 36-67

Persistent link: https://www.econbiz.de/10010358478

Statistical problem classes and their links to information theory

Clarke, Bertrand; Clarke, Jennifer; Yu, Chi Wai - In: Econometric reviews 33 (2014) 1/4, pp. 337-371

Persistent link: https://www.econbiz.de/10010360499

Bayesian doubly adaptive elastic-net Lasso for VAR shrinkage

Gefang, Deborah - In: International journal of forecasting 30 (2013) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10010243650

The quantification and aggregation of model risk : perspectives on potential approaches

Jacobs, Michael <Jr.> - In: International journal of financial engineering and risk … 2 (2015) 2, pp. 124-154

Persistent link: https://www.econbiz.de/10011527495

Bayesian variable selection in a large vector autoregression for origin-destination traffic flow modelling

Deng, Minfeng - In: Spatial econometric interaction modelling, (pp. 199-223). 2016

Persistent link: https://www.econbiz.de/10011529988

Simultaneous edit-imputation for continuous microdata

Kim, Hang J.; Cox, Lawrence H.; Karr, Alan F.; Reiter, … - 2015

Persistent link: https://www.econbiz.de/10011455314

Taming volatile high frequency data with long lag structure : an optimal filtering approach for forecasting

Drechsel, Dirk; Neuwirth, Stefan - 2016 - Preliminary version

We propose a Bayesian optimal filtering setup for improving out-of-sample forecasting performance when using volatile …

Persistent link: https://www.econbiz.de/10011490594

Bayesian nonparametric measurement of factor betas and clustering with application to hedge fund returns

Garay, Urbi; Horst, Enrique ter; Molina, German; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-23

We define a dynamic and self-adjusting mixture of Gaussian Graphical Models to cluster financial returns, and provide a new method for extraction of nonparametric estimates of dynamic alphas (excess return) and betas (to a choice set of explanatory factors) in a multivariate setting. This...

Persistent link: https://www.econbiz.de/10011505836