Bayesian and likelihood inference from equally weighted mixtures
Author
Abstract
Suggested Citation
DOI: 10.1007/BF01720581
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Yosihiko Ogata, 1990. "A Monte Carlo method for an objective Bayesian procedure," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 42(3), pages 403-433, September.
- Geweke, John, 1989. "Exact predictive densities for linear models with arch disturbances," Journal of Econometrics, Elsevier, vol. 40(1), pages 63-86, January.
- R. DerSimonian, 1986. "Maximum Likelihood Estimation of a Mixing Distribution," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 35(3), pages 302-309, November.
- John Hsu & Tom Leonard & Kam-Wah Tsui, 1991. "Statistical inference for multiple choice tests," Psychometrika, Springer;The Psychometric Society, vol. 56(2), pages 327-348, June.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Chih-Wen Hsu & Marick Sinay & John Hsu, 2012. "Bayesian estimation of a covariance matrix with flexible prior specification," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(2), pages 319-342, April.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Manabu Asai & Michael McAleer, 2022.
"Bayesian Analysis of Realized Matrix-Exponential GARCH Models,"
Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 103-123, January.
- Asai, M. & McAleer, M.J., 2018. "Bayesian Analysis of Realized Matrix-Exponential GARCH Models," Econometric Institute Research Papers 2018-005/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Manabu Asai & Michael McAleer, 2018. "Bayesian Analysis of Realized Matrix-Exponential GARCH Models," Tinbergen Institute Discussion Papers 18-005/III, Tinbergen Institute.
- Manabu Asai & Michael McAleer, 2018. "Bayesian analysis of realized matrix-exponential GARCH models," Documentos de Trabajo del ICAE 2018-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Liu, Xiaochun & Luger, Richard, 2015. "Unfolded GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 186-217.
- Nobuhiko Terui, 1997. "Forecasting Dynamic Market Share Relationships," Tinbergen Institute Discussion Papers 97-042/4, Tinbergen Institute.
- Lanne, Markku & Luoto, Jani, 2008.
"Robustness of the risk-return relationship in the U.S. stock market,"
Finance Research Letters, Elsevier, vol. 5(2), pages 118-127, June.
- Lanne, Markku & Luoto, Jani, 2007. "Robustness of the Risk-Return Relationship in the U.S. Stock Market," MPRA Paper 3879, University Library of Munich, Germany.
- Kleibergen, F.R. & Hoek, H., 1995.
"Bayesian analysis of ARMA models using noninformative priors,"
Other publications TiSEM
81684a10-935f-49c4-b5ab-0, Tilburg University, School of Economics and Management.
- Kleibergen, F.R. & Hoek, H., 1995. "Bayesian Analysis of ARMA models using Noninformative Priors," Econometric Institute Research Papers EI 9553-/B, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Frank Kleibergen & Henk Hoek, 1997. "Bayesian Analysis of ARMA Models using Noninformative Priors," Tinbergen Institute Discussion Papers 97-006/4, Tinbergen Institute.
- Kleibergen, F.R. & Hoek, H., 1995. "Bayesian analysis of ARMA models using noninformative priors," Discussion Paper 1995-116, Tilburg University, Center for Economic Research.
- Wago, Hajime, 2004. "Bayesian estimation of smooth transition GARCH model using Gibbs sampling," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(1), pages 63-78.
- Bauwens, Luc & Lubrano, Michel, 2002.
"Bayesian option pricing using asymmetric GARCH models,"
Journal of Empirical Finance, Elsevier, vol. 9(3), pages 321-342, August.
- Bauwens, L. & Lubrano, M., 2000. "Bayesian Option Pricing using Asymmetric Garch Models," G.R.E.Q.A.M. 00a18, Universite Aix-Marseille III.
- BAUWENS , Luc & LUBRANO, Michel, 2002. "Bayesian option pricing using asymmetric GARCH models," LIDAM Reprints CORE 1569, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Marc Saez Zafra & Jorge V. Pérez Rodríguez, 1994.
"Modelos autorregresivos para la varianza condicionada heteroscedastica (ARCH),"
Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 2, pages 71-106, Diciembre.
- Marc Sáez & Jorge V. Pérez Rodríguez, 1994. "Modelos autorregresivos para la varianza condicionada heteroscedastica (ARCH)," Economics Working Papers 95, Department of Economics and Business, Universitat Pompeu Fabra.
- Oscar Andrés Espinosa Acuna & Paola Andrea Vaca González, 2017. "Ajuste de modelos garch clásico y bayesiano con innovaciones t—student para el índice COLCAP," Revista de Economía del Caribe 17147, Universidad del Norte.
- Jacquier, Eric & Polson, Nicholas G. & Rossi, P.E.Peter E., 2004. "Bayesian analysis of stochastic volatility models with fat-tails and correlated errors," Journal of Econometrics, Elsevier, vol. 122(1), pages 185-212, September.
- BAUWENS, Luc & BOS, Charles S. & VAN DIJK, Herman K., 1999.
"Adaptive polar sampling with an application to a Bayes measure of value-at-risk,"
LIDAM Discussion Papers CORE
1999057, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, L. & Bos, C.S. & van Dijk, H.K., 1999. "Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk," Econometric Institute Research Papers TI 99-082/4, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Luc Bauwens & Charles S. Bos & Herman K. van Dijk, 1999. "Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk," Tinbergen Institute Discussion Papers 99-082/4, Tinbergen Institute.
- K. Van Dijk & Luc Bauwens & Charles Bos, 2000. "Adaptive Polar Sampling With An Application To A Bayes Measure Of Value-At-Risk," Computing in Economics and Finance 2000 145, Society for Computational Economics.
- Bos, C.S. & Mahieu, R.J. & van Dijk, H.K., 2000.
"On the variation of hedging decisions in daily currency risk management,"
Econometric Institute Research Papers
EI 2000-20/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2001. "On the Variation of Hedging Decisions in Daily Currency Risk Management," Tinbergen Institute Discussion Papers 01-018/4, Tinbergen Institute.
- Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
- Juan Carlos Ruilova & Pedro Alberto Morettin, 2020. "Parsimonious Heterogeneous ARCH Models for High Frequency Modeling," JRFM, MDPI, vol. 13(2), pages 1-19, February.
- Marsh, Thomas L. & Mittelhammer, Ronald C., 2000. "Truncated Regression In Empirical Estimation," 2000 Annual Meeting, June 29-July 1, 2000, Vancouver, British Columbia 36391, Western Agricultural Economics Association.
- Dirk F. Moore & Choon Keun Park & Woollcott Smith, 2001. "Exploring Extra-Binomial Variation in Teratology Data Using Continuous Mixtures," Biometrics, The International Biometric Society, vol. 57(2), pages 490-494, June.
- Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038, Elsevier.
- Galvao Jr., Antonio F., 2011. "Quantile regression for dynamic panel data with fixed effects," Journal of Econometrics, Elsevier, vol. 164(1), pages 142-157, September.
- Charles S. Bos & Ronald J. Mahieu & Herman K. Van Dijk, 2000.
"Daily exchange rate behaviour and hedging of currency risk,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 671-696.
- Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 1999. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Tinbergen Institute Discussion Papers 99-078/4, Tinbergen Institute.
- Bos, C.S. & Mahieu, R.J. & van Dijk, H.K., 1999. "Daily exchange rate behaviour and hedging of currency risk," Econometric Institute Research Papers EI 9936/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2000. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Econometric Society World Congress 2000 Contributed Papers 0504, Econometric Society.
- Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2001. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Tinbergen Institute Discussion Papers 01-017/4, Tinbergen Institute.
- Bos, C.S. & Mahieu, R.J. & van Dijk, H.K., 2000. "Daily exchange rate behaviour and hedging of currency risk," Econometric Institute Research Papers EI 2000-25/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Rombouts, Jeroen V.K. & Stentoft, Lars, 2014.
"Bayesian option pricing using mixed normal heteroskedasticity models,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 588-605.
- ROMBOUTS, Jeroen V.K. & STENTOFT, Lars, 2009. "Bayesian option pricing using mixed normal heteroskedasticity models," LIDAM Discussion Papers CORE 2009013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jeroen Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CIRANO Working Papers 2009s-19, CIRANO.
- Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," Cahiers de recherche 0926, CIRPEE.
- Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers 2009-07, Department of Economics and Business Economics, Aarhus University.
More about this item
Keywords
Equally weighted mixtures; survivor distribution; maximum likelihood; EM algorithm; binomial mixtures; Bayesian marginalization; importance sampling; Gibbs sampler;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:aistmt:v:46:y:1994:i:2:p:203-220. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.