A Bayesian semiparametric vector multiplicative error model (Q2242023): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
Property / cites work
 
Property / cites work: High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mixtures of Dirichlet processes with applications to Bayesian nonparametric problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: Distribution functions of means of a Dirichlet process / rank
 
Normal rank
Property / cites work
 
Property / cites work: On approximating parametric Bayes models by nonparametric Bayes models / rank
 
Normal rank
Property / cites work
 
Property / cites work: A multiple indicators model for volatility using intra-daily data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5461413 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bayesian semiparametric stochastic volatility modeling / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3127236 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4493303 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Slice sampling mixture models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Contributions to the theory of Dirichlet processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Means of a Dirichlet process and multiple hypergeometric functions. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Parameter expansion to accelerate EM: the PX-EM algorithm / rank
 
Normal rank
Property / cites work
 
Property / cites work: Parameter Expansion for Data Augmentation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximating distributions of random functionals of Ferguson-Dirichlet priors / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Bayesian nonparametric approach for time series clustering / rank
 
Normal rank
Property / cites work
 
Property / cites work: Semiparametric multivariate and multiple change-point modeling / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust identification of highly persistent interest rate regimes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Distributional results for means of normalized random measures with independent increments / rank
 
Normal rank
Property / cites work
 
Property / cites work: Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms / rank
 
Normal rank
Property / cites work
 
Property / cites work: The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sampling the Dirichlet Mixture Model with Slices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Semiparametric Bayes hierarchical models with mean and variance constraints / rank
 
Normal rank

Revision as of 02:00, 27 July 2024

scientific article
Language Label Description Also known as
English
A Bayesian semiparametric vector multiplicative error model
scientific article

    Statements

    A Bayesian semiparametric vector multiplicative error model (English)
    0 references
    0 references
    0 references
    0 references
    9 November 2021
    0 references
    Bayesian nonparametrics
    0 references
    multiplicative error model
    0 references
    parameter-extended Gibbs sampler
    0 references
    0 references
    0 references
    0 references

    Identifiers