Computational techniques for applied econometric analysis of macroeconomic and financial processes

DOI10.1016/J.CSDA.2006.11.015MaRDI QIDQ1019982zbMATH OpenOpenAlexFDO

Authors Patrick J. F. Groenen, Richard Paap, John Geweke, Herman K. Van Dijk

Publication date 29 May 2009

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL http://repub.eur.nl/pub/11133

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20)

Cites work

• A global optimization heuristic for estimating agent based models
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• Computational algorithms for double bootstrap confidence intervals
• Contemporary Bayesian Econometrics and Statistics
• Discrete Choice Methods with Simulation
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• Interpretation and inference in mixture models: simple MCMC works
• Multilevel modeling using spatial processes: application to the Singapore housing market
• Multivariate mixed normal conditional heteroskedasticity
• On the applicability of stochastic volatility models
• Robust optimal decisions with imprecise forecasts
• Simulation-based Bayesian estimation of an affine term structure model
• Space-varying regression models: specifications and simulation
• Stylized facts of financial time series and hidden semi-Markov models
• Time series of count data: Modeling, estimation and diagnostics

Cited in

(1)

• Editorial: Special issue on statistical and computational methods in finance

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