منابع مشابه
MCMC estimation with longitudinal employer-employee data
We study job durations using a multivariate hazard model allowing for workerspecific and firm-specific unobserved determinants. The latter are captured by unobserved heterogeneity terms or random effects, one at the firm level and another at the worker level. This enables us to decompose the variation in job durations into the relative contribution of the worker and the firm. We also allow the ...
متن کاملComparison among Posterior Densities Estimation using by MCMC Techniques
This article has no abstract.
متن کاملMcMC Estimation of Multiscale Stochastic Volatility Models
In this paper we propose to use Monte Carlo Markov Chain methods to estimate the parameters of Stochastic Volatility Models with several factors varying at different time scales. The originality of our approach, in contrast with classical factor models is the identification of two factors driving univariate series at well-separated time scales. This is tested with simulated data as well as fore...
متن کاملMCMC based estimation of term structure models
We develop a state space framework for estimating term structure models, where latent Markovian state variables are mapped non-linearly into observable market data. The measurement equation of our framework is explicitly constructed such that it takes raw market prices and rates as direct inputs. We thus avoid entirely, the need for data preprocessing, such as the use of ad hoc interpolation an...
متن کاملMCMC estimation of the COGARCH(1,1) model
This paper presents a Markov chain Monte Carlo based estimation procedure for the COGARCH(1,1) model driven by a compound Poisson process. The COGARCH model is a continuous-time analogue to the discrete-time GARCH model and captures many of the stylized facts of financial time series, as has been shown in various papers. Principles for the estimation of point processes by MCMC are adapted to th...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2019
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2019.1588469