scientific article; zbMATH DE number 1524239

DOI10.1002/(SICI)1526-4025(199907/09)15:3%3C147::AID-ASMB372%3E3.0.CO;2-3MaRDI QIDQ4512130zbMATH OpenFDO

Authors Efthymios G. Tsionas

Publication date 1 November 2000

zbMATH Keywords

Markov chain Monte CarloBayesian analysisdistribution-free statistics

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Nonparametric inference (62G99)

Recommendations

• Bayesian semiparametric stochastic volatility modeling
• Bayesian non- and semi-parametric methods and applications
• Bayesian semiparametric multivariate GARCH modeling
• Bayesian nonparametric modelling of the return distribution with stochastic volatility
• Introduction to Bayesian Econometrics

Cites work

• scientific article; zbMATH DE number 1098822 (Why is no real title available?)
• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• A Bayesian analysis of some nonparametric problems
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Bayesian analysis of the multivariate poisson distribution
• Bayesian linear regression with error terms that have symmetric unimod al densities
• Common Persistence in Conditional Variances
• Generalized autoregressive conditional heteroscedasticity
• Inference from iterative simulation using multiple sequences
• Markov chains for exploring posterior distributions. (With discussion)
• Modeling asset returns with alternative stable distributions^*
• Monte Carlo inference in econometric models with symmetric stable disturbances
• Monte Carlo sampling methods using Markov chains and their applications
• Quasi-Likelihood and Optimal Estimation, Correspondent Paper
• Semi-Nonparametric Maximum Likelihood Estimation
• Simulation and the Asymptotics of Optimization Estimators
• Stable distributions for asset returns
• The estimation of the parameters of the stable laws
• The simulation smoother for time series models

Cited in

(5)

• Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior
• Bayesian non- and semi-parametric methods and applications
• A note on Bayesian inference in asset pricing.
• Bayesian inference in time series models using kernel quasi likelihoods
• Likelihood and posterior shapes in Johnson's \(S_B\) system

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4512130)