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Random and Markov switching exponential smoothing models

Tsionas, Mike G. - In: Technological forecasting & social change : an … 174 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013205414

Testing for optimization behavior in production when data is with measurement errors : a Bayesian approach

Tsionas, Efthymios G.; Zelenyuk, Valentin - 2022

Persistent link: https://www.econbiz.de/10013258107

Sequential Monte Carlo Samplers for Capital Allocation Under Copula-Dependent Risk Models

Targino, Rodrigo - 2015

In this paper we assume a multivariate risk model has been developed for a portfolio and its capital derived as a homogeneous risk measure. The Euler (or gradient) principle, then, states that the capital to be allocated to each component of the portfolio has to be calculated as an expectation...

Persistent link: https://www.econbiz.de/10013032278

Bayesian semi-parametric realized conditional autoregressive expectile models for tail risk forecasting

Gerlach, Richard; Wang, Chao - In: Journal of financial econometrics 20 (2022) 1, pp. 105-138

Persistent link: https://www.econbiz.de/10012878188

Constraints in models of production and cost via slack-based measures

Khan, Caroline; Tsionas, Efthymios G. - In: Empirical economics : a quarterly journal of the … 61 (2021) 6, pp. 3347-3374

Persistent link: https://www.econbiz.de/10012664806

Approximate Bayesian estimation of stochastic volatility in mean models using Hidden Markov Models: empirical evidence from stock Latin American markets

Abanto-Valle, Carlos A.; Rodriguez, Gabriel; Castro … - 2021 - Primera edición

Persistent link: https://www.econbiz.de/10013170523

An Introduction to Markov Chain Monte Carlo

Jespersen, Nicolai Schipper - 2010

chain theory is summarized. Two common algorithms for generating random draws from complex joint distribution are presented … theory and to be familiar with discrete time Markov chains on a finite state space …

Persistent link: https://www.econbiz.de/10013144435

A Tutorial on Markov Chain Monte-Carlo and Bayesian Modeling

Haugh, Martin B. - 2021

intervals, hypothesis testing and decision theory …

Persistent link: https://www.econbiz.de/10013244800

To Bridge, to Warp or to Wrap? A Comperative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood

Ardia, David - 2015

Important choices for efficient and accurate evaluation of marginal likelihoods by means of Monte Carlo simulation methods are studied for the case of highly non-elliptical posterior distributions. We focus on the situation where one makes use of importance sampling or the independence chain...

Persistent link: https://www.econbiz.de/10012749869

Conditional value-at-risk forecasts of an optimal foreign currency portfolio

Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861

Persistent link: https://www.econbiz.de/10012792873