Sparse seemingly unrelated regression modelling: applications in finance and econometrics
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Cites work
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- A candidate's formula: A curious result in Bayesian prediction
- A comparative study of algorithms for solving seemingly unrelated regressions models
- An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
- An alternative approach for the numerical solution of seemingly unrelated regression equations models
- An introduction to variational methods for graphical models
- Bayesian Graphical Models for Discrete Data
- Bayesian analysis of covariance matrices and dynamic models for longitudinal data
- Bayesian analysis of matrix normal graphical models
- Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
- Bayesian forecasting and dynamic models.
- Bayesian stochastic search for VAR model restrictions
- Decomposable graphical Gaussian model determination
- Dynamic financial index models: modeling conditional dependencies via graphs
- Dynamic matrix-variate graphical models
- Experiments in stochastic computation for high-dimensional graphical models
- Flexible covariance estimation in graphical Gaussian models
- Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models
- Hyper Markov laws in the statistical analysis of decomposable graphical models
- Marginal Likelihood from the Gibbs Output
- Multivariate Bayesian Variable Selection and Prediction
- Nonparametric seemingly unrelated regression
- Objective Bayesian model selection in Gaussian graphical models
- Parsimonious Covariance Matrix Estimation for Longitudinal Data
- Random Effects Selection in Linear Mixed Models
- Seemingly unrelated regression model with unequal size observations: Computational aspects
- Shotgun Stochastic Search for “Largep” Regression
- Simulation of hyper-inverse Wishart distributions in graphical models
- Sparse graphical models for exploring gene expression data
Cited in
(22)- Bayesian nonparametric sparse vector autoregressive models
- Bayesian Nonparametric Panel Markov-Switching GARCH Models
- Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions
- Efficient Gaussian graphical model determination under \(G\)-Wishart prior distributions
- Bayesian nonparametric sparse VAR models
- Scaling it up: stochastic search structure learning in graphical models
- Gaussian graphical modeling for spectrometric data analysis
- Robust inference for seemingly unrelated regression models
- A Seemingly Unrelated Nonparametric Additive Model with Autoregressive Errors
- Joint high-dimensional Bayesian variable and covariance selection with an application to eQTL analysis
- Detecting structural breaks in multivariate financial time series: evidence from hedge fund investment strategies
- Seemingly unrelated multi-state processes: a Bayesian semiparametric approach
- SPARSE PREDICTIVE MODELING FOR BANK TELEMARKETING SUCCESS USING SMOOTH-THRESHOLD ESTIMATING EQUATIONS
- Model averaging for sparse seemingly unrelated regression using Bayesian networks among the errors
- The G-Wishart Weighted Proposal Algorithm: Efficient Posterior Computation for Gaussian Graphical Models
- Bayesian Variable Selection for Gaussian Copula Regression Models
- An extended sparse max-linear moving model with application to high-frequency financial data
- Estimating large-scale general linear and seemingly unrelated regressions models after deleting observations
- Bayesian sparse seemingly unrelated regressions model with variable selection and covariance estimation via the horseshoe+
- Some finite sample results for a system of seemingly unrelated regression equations
- Block Structured Graph Priors in Gaussian Graphical Models
- Modeling systemic risk with Markov switching graphical SUR models
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