Discussion of ``Nonparametric Bayesian inference in applications: Bayesian nonparametric methods in econometrics

DOI10.1007/S10260-017-0384-0MaRDI QIDQ1663604zbMATH OpenOpenAlexFDO

Authors Maria Kalli, J. E. Griffin, M. F. J. Steel

Publication date 21 August 2018

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://kar.kent.ac.uk/62600/1/Discussion_final.pdf

zbMATH Keywords

Dirichlet processinfinite mixture modelinterest rateslong memorynormalized random measures with independent incrementsportfolio allocationtime seriesvolatility

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric estimation (62G05) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• Bayesian semiparametric multivariate GARCH modeling
• Bayesian nonparametric vector autoregressive models
• Nonparametric Bayesian data analysis
• Bayesian non- and semi-parametric methods and applications
• Bayesian non-parametric mixtures of GARCH(1,1) models

Cites work

• A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection
• A Bayesian semiparametric model for volatility with a leverage effect
• A nonparametric model for stationary time series
• An adaptive truncation method for inference in Bayesian nonparametric models
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Bayesian Density Estimation and Inference Using Mixtures
• Bayesian nonparametric modelling of the return distribution with stochastic volatility
• Bayesian nonparametric vector autoregressive models
• Bayesian semiparametric modeling of realized covariance matrices
• Bayesian semiparametric multivariate GARCH modeling
• Bayesian semiparametric stochastic volatility modeling
• Beta-product dependent Pitman-Yor processes for Bayesian inference
• Compound random measures and their use in Bayesian non-parametrics
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Contemporaneous aggregation of linear dynamic models in large economies
• Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
• Forecasting the term structure of government bond yields
• Hierarchical Dirichlet Processes
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• Long memory relationships and the aggregation of dynamic models
• Modeling and Forecasting Realized Volatility
• Multivariate GARCH Models
• Stick-breaking autoregressive processes
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Time Varying Structural Vector Autoregressions and Monetary Policy

Cited in

(2)

• Innovation, growth and aggregate volatility from a Bayesian nonparametric perspective
• Discussion of: ``Bayesian models and methods in public policy and government settings by S.E. Fienberg

Describes a project that uses

Uses Software

• bvarsv

This page was built for publication: Discussion of ``Nonparametric Bayesian inference in applications: Bayesian nonparametric methods in econometrics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1663604)