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Bayesian estimation of the Heston volatility model
Frühwirth-Schnatter, Sylvia; Sögner, Leopold - In: Operations research proceedings 2002 : selected papers …, (pp. 480-485). 2003
Persistent link: https://www.econbiz.de/10001752050
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Efficient Bayesian parameter estimation
Frühwirth-Schnatter, Sylvia - In: State space and unobserved component models : theory …, (pp. 123-151). 2004
Persistent link: https://www.econbiz.de/10009719927
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How do changes in monetary policy affect bank lending? : An analysis of AustrianBank data
Frühwirth-Schnatter, Sylvia; Kaufmann, Sylvia - In: Journal of applied econometrics 21 (2006) 3, pp. 275-305
Persistent link: https://www.econbiz.de/10003315963
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Capturing unobserved consumer heterogeneity using the Bayesian heterogeneity model
Frühwirth-Schnatter, Sylvia; Tüchler, Regina; Otter, … - In: Adaptive information systems and modelling in economics …, (pp. 57-70). 2005
Persistent link: https://www.econbiz.de/10003319808
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Non-linear volatility modeling in classical and Bayesian frameworks with applications to risk management
Miazhynskaia, Tatiana; Dockner, Engelbert J.; … - In: Adaptive information systems and modelling in economics …, (pp. 73-98). 2005
Persistent link: https://www.econbiz.de/10003319811
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Estimating models based on Markov jump processes given fragmented observation series
Hahn, Markus; Frühwirth-Schnatter, Sylvia; Sass, Jörn - In: Advances in statistical analysis : AStA ; a journal of … 93 (2009) 4, pp. 403-425
Persistent link: https://www.econbiz.de/10003910570
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Stochastic model specification search for Gaussian and partial non-Gaussian state space models
Frühwirth-Schnatter, Sylvia; Wagner, Helga - In: Journal of econometrics 154 (2010) 1, pp. 85-100
Persistent link: https://www.econbiz.de/10003931791
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Markov chain Monte Carlo methods for parameter estimation in multidimensional continuous time Markov switching models
Hahn, Markus; Frühwirth-Schnatter, Sylvia; Sass, Jörn - In: Journal of financial econometrics : official journal of … 8 (2010) 1, pp. 88-121
Persistent link: https://www.econbiz.de/10003997336
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Model-based clustering of multiple time series
Frühwirth-Schnatter, Sylvia; Kaufmann, Sylvia - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 1, pp. 78-89
Persistent link: https://www.econbiz.de/10003625239
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Labor market entry and earnings dynamics : Bayesian inference using mixtures-of-experts Markov chain clustering
Frühwirth-Schnatter, Sylvia; Pamminger, Christoph; … - 2010
This paper analyzes patterns in the earnings development of young labor market entrants over their life cycle. We identify four distinctly different types of transition patterns between discrete earnings states in a large administrative data set. Further, we investigate the effects of labor...
Persistent link: https://www.econbiz.de/10009241799