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Results 51-60 of 62.
Year of PublicationTitleAuthor(s)
2012The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust SimulationBasturk, Nalan; Hoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K.
2006On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Samplingde Pooter, Michiel D.; Segers, René; van Dijk, Herman K.
1997Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian ApproachKoop, Gary; van Dijk, Herman K.; Hoek, Henk
2011Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. TimmermannHoogerheide, Lennart F.; Ravazzolo, Francesco; van Dijk, Herman K.
2019Partially Censored Posterior for Robust and Efficient Risk EvaluationBorowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan; van Dijk, Herman K.
2011Combining Predictive Densities using Bayesian Filtering with Applications to US Economics DataBillio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K.
2012Time-varying Combinations of Predictive Densities using Nonlinear FilteringBillio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K.
2010A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal LikelihoodsArdia, David; Basturk, Nalan; Hoogerheide, Lennart; van Dijk, Herman K.
2014Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock PricesGatarek, Lukasz; Hoogerheide, Lennart; van Dijk, Herman K.
2021Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of OilAastveit, Knut Are; Cross, Jamie; van Dijk, Herman K.