Model Selection and Averaging in Financial Risk Management (Q5742646): Difference between revisions

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+A new look at the statistical model identification
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+Generalized autoregressive conditional heteroscedasticity
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+Model Selection and Multimodel Inference
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+Q4845386
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+Multi-regime nonlinear capital asset pricing models
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+Bayesian model choice based on Monte Carlo estimates of posterior model probabilities
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+A sticky HDP-HMM with application to speaker diarization
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+Sampling-Based Approaches to Calculating Marginal Densities
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+Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
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+A Regime-Switching Model of Long-Term Stock Returns
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+Accounting for regime and parameter uncertainty in regime-switching models
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+Monte Carlo sampling methods using Markov chains and their applications
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+Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
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+Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
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+Particle filters and Bayesian inference in financial econometrics
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+Equation of State Calculations by Fast Computing Machines
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+Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models
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+Bayesian Inference in Hidden Markov Models Through the Reversible Jump Markov Chain Monte Carlo Method
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+Estimating the dimension of a model
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+Bayesian Measures of Model Complexity and Fit
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+Hierarchical Dirichlet Processes
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+Hidden Markov Models for Time Series
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