IDEAS home Printed from https://ideas.repec.org/r/bes/jnlbes/v9y1991i1p27-39.html
   My bibliography  Save this item

A Quasi-Bayesian Approach to Estimating Parameters for Mixtures of Normal Distributions

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. RenÈ Garcia, 2002. "Are the Effects of Monetary Policy Asymmetric?," Economic Inquiry, Western Economic Association International, vol. 40(1), pages 102-119, January.
  2. Trino-Manuel Niguez & Javier Perote, 2004. "Forecasting the density of asset returns," STICERD - Econometrics Paper Series 479, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  3. Francisco J. Ruge-Murcia, 2000. "Uncovering financial markets' beliefs about inflation targets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 483-512.
  4. Dufrénot, Gilles & Mignon, Valérie & Péguin-Feissolle, Anne, 2011. "The effects of the subprime crisis on the Latin American financial markets: An empirical assessment," Economic Modelling, Elsevier, vol. 28(5), pages 2342-2357, September.
  5. Alexis Cruz-Rodriguez, 2013. "Choosing and Assessing Exchange Rate Regimes: a Survey of the Literature," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 28(2), pages 37-61, October.
  6. RUGE-MURCIA, Francisco J., 2010. "Estimating Nonlinear DSGE Models by the Simulated Method of Moments," Cahiers de recherche 2010-10, Universite de Montreal, Departement de sciences economiques.
  7. Massimo Guidolin & Stuart Hyde, 2009. "What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model," Applied Financial Economics, Taylor & Francis Journals, vol. 19(6), pages 463-488.
  8. Su, EnDer, 2014. "Measuring Contagion Risk in High Volatility State between Major Banks in Taiwan by Threshold Copula GARCH Model," MPRA Paper 58161, University Library of Munich, Germany.
  9. Gambacciani, Marco & Paolella, Marc S., 2017. "Robust normal mixtures for financial portfolio allocation," Econometrics and Statistics, Elsevier, vol. 3(C), pages 91-111.
  10. Paolella, Marc S. & Taschini, Luca, 2008. "An econometric analysis of emission allowance prices," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2022-2032, October.
  11. Engel, Charles, 1994. "Can the Markov switching model forecast exchange rates?," Journal of International Economics, Elsevier, vol. 36(1-2), pages 151-165, February.
  12. Bollerslev, Tim & Xu, Lai & Zhou, Hao, 2015. "Stock return and cash flow predictability: The role of volatility risk," Journal of Econometrics, Elsevier, vol. 187(2), pages 458-471.
  13. En-Der Su & Feng-Jeng Lin, 2012. "Two-State Volatility Transition Pricing and Hedging of TXO Options," Computational Economics, Springer;Society for Computational Economics, vol. 39(3), pages 259-287, March.
  14. Cruz-Rodríguez, Alexis, 2004. "Un análisis del ciclo económico de la República Dominicana bajo cambios de régimen [Analysis of business cycle of the Dominican Republic using Markov Switching model]," MPRA Paper 54352, University Library of Munich, Germany.
  15. Arora, Vipin & Gomis-Porqueras, Pedro & Shi, Shuping, 2013. "The divergence between core and headline inflation: Implications for consumers’ inflation expectations," Journal of Macroeconomics, Elsevier, vol. 38(PB), pages 497-504.
  16. Marcos Mailoc López de Prado & Achim Peijan, 2005. "Measuring Loss Potential of Hedge Fund Strategies," Finance 0503010, University Library of Munich, Germany.
  17. Lacroix, R., 2008. "Assessing the shape of the distribution of interest rates: lessons from French individual data," Working papers 206, Banque de France.
  18. Ignacio Mauleon & Javier Perote, 2000. "Testing densities with financial data: an empirical comparison of the Edgeworth-Sargan density to the Student's t," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 225-239.
  19. Cruz-Rodríguez, Alexis, 2005. "Ciclos Económicos Sincronizados y Uniones Monetarias en Centroamérica y la República Dominicana [Business Cycles Synchronisation and Monetary Union in Central American and the Dominican Republic]," MPRA Paper 72104, University Library of Munich, Germany.
  20. Mauleon, Ignacio, 2003. "Financial densities in emerging markets: an application of the multivariate ES density," Emerging Markets Review, Elsevier, vol. 4(2), pages 197-223, June.
  21. Christian Johnson, 2001. "Un Modelo de Switching para el Crecimiento en Chile," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 38(115), pages 291-319.
  22. Subu Venkataraman, 1997. "Value at risk for a mixture of normal distributions: the use of quasi- Bayesian estimation techniques," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 21(Mar), pages 2-13.
  23. Psaradakis, Zacharias & Sola, Martin, 1998. "Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching," Journal of Econometrics, Elsevier, vol. 86(2), pages 369-386, June.
  24. Su, EnDer & Wen Wong, Kai, 2019. "Testing the alternative two-state options pricing models: An empirical analysis on TXO," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 101-116.
  25. Conor Dolan & Han Maas, 1998. "Fitting multivariage normal finite mixtures subject to structural equation modeling," Psychometrika, Springer;The Psychometric Society, vol. 63(3), pages 227-253, September.
  26. Ana Oliveira-Brochado & Francisco Vitorino Martins, 2008. "Segmentação de Mercado e modelos mistura de regressão para variáveis normais," FEP Working Papers 262, Universidade do Porto, Faculdade de Economia do Porto.
  27. Lin, Edward M.H. & Sun, Edward W. & Yu, Min-Teh, 2020. "Behavioral data-driven analysis with Bayesian method for risk management of financial services," International Journal of Production Economics, Elsevier, vol. 228(C).
  28. Aka, B.F., 2004. "Do WAEMU Countries Exhibit a Regional Business Cycle?. A Simulated Markov Switching Model for a Western Africa area," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 4(4).
  29. Satoshi Kabe & Yuichiro Kanazawa, 2014. "Estimating the Markov-switching almost ideal demand systems: a Bayesian approach," Empirical Economics, Springer, vol. 47(4), pages 1193-1220, December.
  30. Allan P. Layton, 1997. "Do Leading Indicators Really Predict Australian Business Cycle Turning Points?," The Economic Record, The Economic Society of Australia, vol. 73(222), pages 258-269, September.
  31. Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2019. "Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns," Journal of Econometrics, Elsevier, vol. 213(2), pages 493-515.
  32. Wahyudi, Imam & Luxianto, Rizky & Iwani, Niken & Sulung, Liyu Adhika Sari, 2008. "Early Warning System in ASEAN Countries Using Capital Market Index Return: Modified Markov Regime Switching Model," MPRA Paper 59723, University Library of Munich, Germany, revised 16 Jul 2010.
  33. Eric Ghysels, 1993. "A time series model with periodic stochastic regime switching," Discussion Paper / Institute for Empirical Macroeconomics 84, Federal Reserve Bank of Minneapolis.
  34. Buckley, Ian & Saunders, David & Seco, Luis, 2008. "Portfolio optimization when asset returns have the Gaussian mixture distribution," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1434-1461, March.
  35. Alexis Cruz Rodriguez, 2011. "Prediction of Currency Crises Using a Fiscal Sustainability Indicator," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 26(2), pages 39-60, December.
  36. Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
  37. Su, EnDer, 2013. "Stock index hedge using trend and volatility regime switch model considering hedging cost," MPRA Paper 49190, University Library of Munich, Germany.
  38. Bhattacharyya, Malay & Madhav R, Siddarth, 2012. "A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns," MPRA Paper 54189, University Library of Munich, Germany.
  39. Jin Wang & Michael R. Taaffe, 2015. "Multivariate Mixtures of Normal Distributions: Properties, Random Vector Generation, Fitting, and as Models of Market Daily Changes," INFORMS Journal on Computing, INFORMS, vol. 27(2), pages 193-203, May.
  40. Alberto Suarez & Santiago Carrillo, 2000. "Computational Tools For The Analysis Of Market Risk," Computing in Economics and Finance 2000 144, Society for Computational Economics.
  41. Cardoso de Mendonça, Mário Jorge, 2013. "O Crédito Imobiliário no Brasil e sua Relação com a Política Monetária," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 67(4), November.
  42. Layton, Allan P., 1998. "A further test of the influence of leading indicators on the probability of US business cycle phase shifts," International Journal of Forecasting, Elsevier, vol. 14(1), pages 63-70, March.
  43. Behiye Cavusoglu & Saifullahi Sani Ibrahim & Huseyin Ozdeser, 2019. "Testing the relationship between financial sector output, employment and economic growth in North Cyprus," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-11, December.
  44. Layton, Allan P., 1996. "Dating and predicting phase changes in the U.S. business cycle," International Journal of Forecasting, Elsevier, vol. 12(3), pages 417-428, September.
  45. Allan Layton, 1997. "A new approach to dating and predicting Australian business cycle phase changes," Applied Economics, Taylor & Francis Journals, vol. 29(7), pages 861-868.
  46. Igor Alexandre Clemente de Morais & Marcelo Savino Portugal, 2003. "Business Cycle in the Industrial Production of Brazilian States," Anais do XXXI Encontro Nacional de Economia [Proceedings of the 31st Brazilian Economics Meeting] e75, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  47. Massimo Guidolin & Stuart Hyde, 2008. "Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK," Working Papers 2008-005, Federal Reserve Bank of St. Louis.
  48. Allan Layton & Daniel Smith, 2000. "A further note on the three phases of the US business cycle," Applied Economics, Taylor & Francis Journals, vol. 32(9), pages 1133-1143.
  49. Soosung Hwang & Stephen E. Satchell, 2007. "The disappearance of style in the US equity market," Applied Financial Economics, Taylor & Francis Journals, vol. 17(8), pages 597-613.
  50. Puneet Prakash & Vikas Sangwan & Kewal Singh, 2021. "Transformational Approach to Analytical Value-at-Risk for near Normal Distributions," JRFM, MDPI, vol. 14(2), pages 1-19, January.
  51. Alberto Suárez & Santiago Carrillo, 2003. "Computational Tools for the Analysis of Market Risk," Computational Economics, Springer;Society for Computational Economics, vol. 21(1), pages 153-172, February.
  52. Su, EnDer, 2017. "Stock index hedging using a trend and volatility regime-switching model involving hedging cost," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 233-254.
  53. Paapaa, Richard & van Dijk, Herman K., 1998. "Distribution and mobility of wealth of nations," European Economic Review, Elsevier, vol. 42(7), pages 1269-1293, July.
  54. Dimitris Kirikos, 1996. "The role of the forecast-generating process in assessing asset market models of the exchange rate: a non-linear case," The European Journal of Finance, Taylor & Francis Journals, vol. 2(2), pages 125-144.
  55. Tsung-Wu Ho, 2001. "Finite-sample properties of the bootstrap estimator in a Markov-switching model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 28(7), pages 835-842.
  56. Dutta Roy, Sudipta & Darbha, Gangadhar, 2000. "Dynamics of money, output and price interaction -- some Indian evidence," Economic Modelling, Elsevier, vol. 17(4), pages 559-588, December.
  57. repec:fgv:epgrbe:v:67:n:4:a:4 is not listed on IDEAS
  58. Penelope A. Smith & Peter M. Summers, 2004. "Identification and normalization in Markov switching models of \"business cycles\"," Research Working Paper RWP 04-09, Federal Reserve Bank of Kansas City.
  59. AKA, Bédia F., 2009. "Business Cycle And Sectoral Fluctuations: A Nonlinear Model For Côte D’Ivoire," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 9(1), pages 111-126.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.