Zero-Variance principle for Hamiltonian Monte Carlo in GJR-GARCH models (2018)
- Authors:
- USP affiliated authors: EHLERS, RICARDO SANDES - ICMC ; PAIXÃO, RAFAEL SOARES - INTER: ICMC -UFSCAR
- Unidades: ICMC; INTER: ICMC -UFSCAR
- Subjects: ECONOMETRIA; MÉTODOS MCMC
- Language: Inglês
- Imprenta:
- Publisher: ICMC/USP - DEs/UFSCar
- Publisher place: São Carlos
- Date published: 2018
- Source:
- Título do periódico: Abstracts
- Conference titles: Workshop on Probabilistic and Statistical Methods - WPSM
-
ABNT
PAIXÃO, Rafael Soares e EHLERS, Ricardo Sandes. Zero-Variance principle for Hamiltonian Monte Carlo in GJR-GARCH models. 2018, Anais.. São Carlos: ICMC/USP - DEs/UFSCar, 2018. Disponível em: http://wpsm.icmc.usp.br/6WPSM/program_6WPSM.pdf. Acesso em: 16 abr. 2024. -
APA
Paixão, R. S., & Ehlers, R. S. (2018). Zero-Variance principle for Hamiltonian Monte Carlo in GJR-GARCH models. In Abstracts. São Carlos: ICMC/USP - DEs/UFSCar. Recuperado de http://wpsm.icmc.usp.br/6WPSM/program_6WPSM.pdf -
NLM
Paixão RS, Ehlers RS. Zero-Variance principle for Hamiltonian Monte Carlo in GJR-GARCH models [Internet]. Abstracts. 2018 ;[citado 2024 abr. 16 ] Available from: http://wpsm.icmc.usp.br/6WPSM/program_6WPSM.pdf -
Vancouver
Paixão RS, Ehlers RS. Zero-Variance principle for Hamiltonian Monte Carlo in GJR-GARCH models [Internet]. Abstracts. 2018 ;[citado 2024 abr. 16 ] Available from: http://wpsm.icmc.usp.br/6WPSM/program_6WPSM.pdf - Método Zero-Variance para Monte Carlo Hamiltoniano aplicado a modelos GARCH univariados e multivariados
- Diagnósticos para dependência bivariada em valores extremos de séries temporais
- Bayesian inference for the log-symmetric autoregressive conditional duration model
- Comparing multivariate GARCH-DCC models using Hamiltonian Monte Carlo and Stan
- Bayesian estimation of the Kumaraswamy inverse Weibull distribution
- Computational tools for comparing asymmetric GARCH models via Bayes factors
- Outliers identification on spatial models
- Zero variance estimator for GJR-GARCH models via Hamiltonian Monte Carlo
- A Study Hamiltonian Monte Carlo methods in univariate GARCH models
- Modelos de volatilidade estocástica utilizando os métodos de Langevin ajustado Metropolis e de Monte Carlo Hamiltoniano
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