IDEAS home Printed from https://ideas.repec.org/p/tiu/tiucen/0991c197-c9e8-4904-8119-3ced8ff5a04b.html
   My bibliography  Save this paper

On Bayesian Modelling of Fat Tails and Skewness

Author

Listed:
  • Fernández, C.
  • Steel, M.F.J.

    (Tilburg University, Center For Economic Research)

Abstract

No abstract is available for this item.

Suggested Citation

  • Fernández, C. & Steel, M.F.J., 1996. "On Bayesian Modelling of Fat Tails and Skewness," Discussion Paper 1996-58, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:0991c197-c9e8-4904-8119-3ced8ff5a04b
    as

    Download full text from publisher

    File URL: https://pure.uvt.nl/ws/portalfiles/portal/524756/58.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Geweke, John, 1994. "Priors for Macroeconomic Time Series and Their Application," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 609-632, August.
    2. Fernández, C. & Steel, M.F.J., 1995. "Reference priors in non-normal location problems," Discussion Paper 1995-91, Tilburg University, Center for Economic Research.
    3. Fernández, C. & Steel, M.F.J., 1996. "On Bayesian Inference under Sampling from Scale Mixtures of Normals," Other publications TiSEM 10be2f67-1679-4828-bba6-7, Tilburg University, School of Economics and Management.
    4. Fernández, C. & Steel, M.F.J., 1995. "Reference priors in non-normal location problems," Other publications TiSEM 99b646c6-07d6-45d0-bff8-b, Tilburg University, School of Economics and Management.
    5. Fernández, C. & Steel, M.F.J., 1996. "On Bayesian Inference under Sampling from Scale Mixtures of Normals," Other publications TiSEM 10be2f67-1679-4828-bba6-7, Tilburg University, School of Economics and Management.
    6. R. C. H. Cheng, 1977. "The Generation of Gamma Variables with Non‐Integral Shape Parameter," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 26(1), pages 71-75, March.
    7. Roberts, G. O. & Smith, A. F. M., 1994. "Simple conditions for the convergence of the Gibbs sampler and Metropolis-Hastings algorithms," Stochastic Processes and their Applications, Elsevier, vol. 49(2), pages 207-216, February.
    Full references (including those not matched with items on IDEAS)

    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.
    1. Fernández, C. & Steel, M.F.J., 1997. "On the Dangers of Modelling through Continuous Distributions : A Bayesian Perspective," Other publications TiSEM 53bef46d-6511-4d09-9018-d, Tilburg University, School of Economics and Management.
    2. Tsionas, Efthymios G., 1998. "Monte Carlo inference in econometric models with symmetric stable disturbances," Journal of Econometrics, Elsevier, vol. 88(2), pages 365-401, November.
    3. Fernández, C. & Steel, M.F.J., 1996. "On Bayesian Inference under Sampling from Scale Mixtures of Normals," Other publications TiSEM 10be2f67-1679-4828-bba6-7, Tilburg University, School of Economics and Management.
    4. Fernández, Carmen & Steel, Mark F. J., 1999. "Reference priors for the general location-scale modelm," Statistics & Probability Letters, Elsevier, vol. 43(4), pages 377-384, July.
    5. Lahiri, Kajal & Gao, Jian, 2002. "Bayesian analysis of nested logit model by Markov chain Monte Carlo," Journal of Econometrics, Elsevier, vol. 111(1), pages 103-133, November.
    6. Fernández, C. & Steel, M.F.J., 1996. "On Bayesian Inference under Sampling from Scale Mixtures of Normals," Other publications TiSEM 10be2f67-1679-4828-bba6-7, Tilburg University, School of Economics and Management.
    7. Fernandez, Carmen & Osiewalski, Jacek & Steel, Mark F. J., 1997. "On the use of panel data in stochastic frontier models with improper priors," Journal of Econometrics, Elsevier, vol. 79(1), pages 169-193, July.
    8. Ranjan, Rakesh & Sen, Rijji & Upadhyay, Satyanshu K., 2021. "Bayes analysis of some important lifetime models using MCMC based approaches when the observations are left truncated and right censored," Reliability Engineering and System Safety, Elsevier, vol. 214(C).
    9. Tsionas, Mike G., 2021. "Bayesian forecasting with the structural damped trend model," International Journal of Production Economics, Elsevier, vol. 234(C).
    10. Tsionas, Mike G., 2019. "Multi-objective optimization using statistical models," European Journal of Operational Research, Elsevier, vol. 276(1), pages 364-378.
    11. Yu, Jun, 2012. "A semiparametric stochastic volatility model," Journal of Econometrics, Elsevier, vol. 167(2), pages 473-482.
    12. Christopher A. Sims, 1993. "A Nine-Variable Probabilistic Macroeconomic Forecasting Model," NBER Chapters, in: Business Cycles, Indicators, and Forecasting, pages 179-212, National Bureau of Economic Research, Inc.
    13. Gordon, Stephen & St-Amour, Pascal, 1997. "Asset Prices with Contingent Preferences," Cahiers de recherche 9712, Université Laval - Département d'économique, revised 08 Jun 1998.
    14. Marriott, John & Newbold, Paul, 2000. "The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective," Journal of Econometrics, Elsevier, vol. 98(1), pages 1-25, September.
    15. Hisashi Tanizaki, 2008. "A Simple Gamma Random Number Generator for Arbitrary Shape Parameters," Economics Bulletin, AccessEcon, vol. 3(7), pages 1-10.
    16. Efthymios G. Tsionas, 2006. "Inference in dynamic stochastic frontier models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 669-676, July.
    17. Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez, 2004. "Estimating nonlinear dynamic equilibrium economies: a likelihood approach," FRB Atlanta Working Paper 2004-1, Federal Reserve Bank of Atlanta.
    18. Lei, Kaixuan & Chang, Jianxia & Long, Ruihao & Wang, Yimin & Zhang, Hongxue, 2022. "Cascade hydropower station risk operation under the condition of inflow uncertainty," Energy, Elsevier, vol. 244(PA).
    19. Ghysels, E., 1993. "A Time Series Model with Periodic Stochastic Regime Switching," Cahiers de recherche 9314, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    20. Fernández, Carmen & Steel, Mark F.J., 2000. "Bayesian Regression Analysis With Scale Mixtures Of Normals," Econometric Theory, Cambridge University Press, vol. 16(1), pages 80-101, February.

    Corrections

    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:tiu:tiucen:0991c197-c9e8-4904-8119-3ced8ff5a04b. 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: Richard Broekman (email available below). General contact details of provider: http://center.uvt.nl .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.