Bayesian prediction of jumps in large panels of time series data (Q6202925): Difference between revisions

@@ Property / OpenAlex ID @@
+W3159464310
@@ Property / OpenAlex ID: W3159464310 / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate Stochastic Volatility: A Review
@@ Property / cites work: Multivariate Stochastic Volatility: A Review / rank @@
+Normal rank
@@ Property / cites work @@
+Sparse Bayesian infinite factor models
@@ Property / cites work: Sparse Bayesian infinite factor models / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Risk, jumps, and diversification
@@ Property / cites work: Risk, jumps, and diversification / rank @@
+Normal rank
@@ Property / cites work @@
+Markov chain Monte Carlo methods for stochastic volatility models.
+Normal rank
@@ Property / cites work @@
+Analysis of high dimensional multivariate stochastic volatility models
+Normal rank
@@ Property / cites work @@
+SMC2: An Efficient Algorithm for Sequential Analysis of State Space Models
+Normal rank
@@ Property / cites work @@
+An Introduction to Sequential Monte Carlo
@@ Property / cites work: An Introduction to Sequential Monte Carlo / rank @@
+Normal rank
@@ Property / cites work @@
+MCMC methods for functions: modifying old algorithms to make them faster
+Normal rank
@@ Property / cites work @@
+Q3228986
@@ Property / cites work: Q3228986 / rank @@
+Normal rank
@@ Property / cites work @@
+Bayesian nonparametric modelling of the return distribution with stochastic volatility
+Normal rank
@@ Property / cites work @@
+Cholesky-GARCH models with applications to finance
+Normal rank
@@ Property / cites work @@
+Q3723577
@@ Property / cites work: Q3723577 / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Poisson Autoregression
@@ Property / cites work: Poisson Autoregression / rank @@
+Normal rank
@@ Property / cites work @@
+Riemann Manifold Langevin and Hamiltonian Monte Carlo Methods
+Normal rank
@@ Property / cites work @@
+Strictly Proper Scoring Rules, Prediction, and Estimation
+Normal rank
@@ Property / cites work @@
+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
+Normal rank
@@ Property / cites work @@
+Multivariate Stochastic Variance Models
@@ Property / cites work: Multivariate Stochastic Variance Models / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic Models for Volatility and Heavy Tails
@@ Property / cites work: Dynamic Models for Volatility and Heavy Tails / rank @@
+Normal rank
@@ Property / cites work @@
+Spectra of some self-exciting and mutually exciting point processes
+Normal rank
@@ Property / cites work @@
+Testing for common arrivals of jumps for discretely observed multidimensional processes
+Normal rank
@@ Property / cites work @@
+Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity
+Normal rank
@@ Property / cites work @@
+Bayes Factors
@@ Property / cites work: Bayes Factors / rank @@
+Normal rank
@@ Property / cites work @@
+Sparse Bayesian time-varying covariance estimation in many dimensions
+Normal rank
@@ Property / cites work @@
+Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
+Normal rank
@@ Property / cites work @@
+Optimization by Simulated Annealing
@@ Property / cites work: Optimization by Simulated Annealing / rank @@
+Normal rank
@@ Property / cites work @@
+On Block Updating in Markov Random Field Models for Disease Mapping
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Leverage, heavy-tails and correlated jumps in stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Stochastic volatility with leverage: fast and efficient likelihood inference
+Normal rank
@@ Property / cites work @@
+A general framework for the parametrization of hierarchical models
+Normal rank
@@ Property / cites work @@
+Langevin diffusions and Metropolis-Hastings algorithms
+Normal rank
@@ Property / cites work @@
+Alternatives to the Median Absolute Deviation
@@ Property / cites work: Alternatives to the Median Absolute Deviation / rank @@
+Normal rank
@@ Property / cites work @@
+The extended generalized inverse Gaussian distribution for log-linear and stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Auxiliary Gradient-Based Sampling Algorithms
@@ Property / cites work: Auxiliary Gradient-Based Sampling Algorithms / rank @@
+Normal rank
@@ Property / cites work @@
+A full-factor multivariate GARCH model
@@ Property / cites work: A full-factor multivariate GARCH model / rank @@
+Normal rank