Importance sampling from posterior distributions using copula-like approximations
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Publication:1740341
DOI10.1016/j.jeconom.2018.11.004zbMath1452.62219OpenAlexW2765858692WikidataQ128957665 ScholiaQ128957665MaRDI QIDQ1740341
Mike G. Tsionas, Petros Dellaportas
Publication date: 30 April 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.11.004
Bayesian analysisGARCHEGARCHsimultaneous equation modelbeta-Liouville distributionvector autoregressive
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Monte Carlo methods (65C05)
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On a high-dimensional model representation method based on copulas, Editorial introduction on complexity and big data in economics and finance: recent developments from a Bayesian perspective
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Cites Work
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