Working Paper |
File Downloads |
Abstract Views |
Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
A Small Sample Variable Selection Procedure |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
375 |
A structural Time Series Model with Markov Switching |
0 |
0 |
0 |
584 |
0 |
0 |
0 |
1,364 |
Bayesian Analysis of the Stochastic Conditional Duration Model |
0 |
0 |
0 |
229 |
1 |
1 |
1 |
595 |
Bayesian Approaches to Segmenting A Simple Time Series |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
882 |
Bayesian Arbitrage Threshold Analysis |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1,140 |
Bayesian Estimation of Non-Gausian Time Series with Applicaitons to Transaction Data |
0 |
0 |
0 |
5 |
0 |
0 |
1 |
440 |
Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices |
0 |
0 |
0 |
668 |
0 |
0 |
2 |
1,810 |
Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter |
0 |
0 |
0 |
692 |
1 |
1 |
3 |
1,404 |
Bayesian Exponential Smoothing |
0 |
0 |
2 |
354 |
0 |
0 |
5 |
1,186 |
Bayesian Soft Target Zones |
0 |
0 |
0 |
67 |
0 |
0 |
0 |
416 |
Bayesian Statistical Variable Selection: A Review |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
742 |
Bayesian Target Zones |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
134 |
Bayesian Target Zones |
0 |
0 |
0 |
43 |
0 |
0 |
1 |
159 |
Data-driven particle Filters for particle Markov Chain Monte Carlo |
0 |
0 |
0 |
63 |
0 |
1 |
1 |
87 |
Diversification Meltdown or the Impact of Fat tails on Conditional Correlation? |
0 |
0 |
0 |
217 |
0 |
0 |
1 |
616 |
Dynamic asset price jumps and the performance of high frequency tests and measures |
0 |
0 |
0 |
20 |
0 |
0 |
1 |
45 |
Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference |
0 |
0 |
0 |
21 |
2 |
2 |
4 |
46 |
Forecasting Observables with Particle Filters: Any Filter Will Do! |
0 |
0 |
0 |
39 |
0 |
0 |
3 |
31 |
High-Frequency Jump Tests: Which Test Should We Use? |
0 |
0 |
0 |
37 |
0 |
0 |
2 |
48 |
High-Frequency Jump Tests: Which Test Should We Use? |
0 |
0 |
0 |
35 |
0 |
0 |
0 |
39 |
Implicit Bayesian Inference Using Option Prices |
0 |
0 |
1 |
143 |
0 |
0 |
1 |
503 |
Implicit Bayesian Inference Using Option Prices |
0 |
0 |
1 |
274 |
0 |
0 |
2 |
795 |
Improved Small Sample Midel selection Procedures |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
470 |
Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures |
0 |
0 |
0 |
26 |
0 |
0 |
0 |
75 |
Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures |
0 |
0 |
0 |
22 |
0 |
0 |
0 |
57 |
Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures |
0 |
0 |
0 |
17 |
0 |
0 |
1 |
28 |
Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures |
0 |
0 |
0 |
17 |
0 |
0 |
0 |
64 |
Measuring the cost of leaving care in Victoria |
0 |
0 |
0 |
85 |
0 |
0 |
1 |
276 |
Model Selection Criteria for Segmented Time Series from a Bayesian Approach to Information Compression |
0 |
0 |
0 |
142 |
0 |
0 |
0 |
495 |
Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models |
0 |
0 |
1 |
43 |
0 |
0 |
1 |
188 |
Non-linear Modelling of the Australian Business Cycle using a Leading Indicator |
0 |
0 |
0 |
311 |
0 |
0 |
0 |
1,121 |
Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models |
0 |
0 |
0 |
161 |
0 |
0 |
0 |
456 |
Probabilistic Forecasts of Volatility and its Risk Premia |
0 |
0 |
0 |
54 |
0 |
0 |
1 |
130 |
Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series |
0 |
0 |
2 |
865 |
0 |
1 |
3 |
1,892 |
Robust Bayesian exponentially tilted empirical likelihood method |
1 |
1 |
1 |
36 |
1 |
3 |
3 |
77 |
The determinants of bank loan recovery rates in good times and bad - new evidence |
0 |
0 |
0 |
18 |
0 |
0 |
1 |
25 |
The determinants of bank loan recovery rates in good times and bad -- new evidence |
0 |
0 |
0 |
43 |
0 |
0 |
0 |
113 |
Understanding the Kalman Filter: an Object Oriented Programming Perspective |
0 |
0 |
0 |
1,699 |
0 |
0 |
1 |
3,626 |
Updating Variational Bayes: Fast Sequential Posterior Inference |
0 |
0 |
0 |
32 |
0 |
0 |
0 |
68 |
Updating Variational Bayes: Fast Sequential Posterior Inference |
0 |
0 |
0 |
16 |
1 |
1 |
3 |
58 |
Worker time and the cost of stability |
0 |
0 |
0 |
8 |
1 |
1 |
2 |
54 |
Total Working Papers |
1 |
1 |
8 |
7,086 |
8 |
12 |
51 |
22,130 |