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Description
  • The article presents alternative version of Bayesian vector auto-regression model with Laplace distributed innovations. Bayesian estimation in such model is more computationally demanding than estimation in a model with normally distributed innovations, but because of the heavier tails of Laplace distribution, it is more robust. In the article I try to present the way of proceeding with the estimation, obtaining a full posterior distribution of the parameters as a result. At the end an efficient algorithm is sketched, but this part of the research is still unfinished.
  • The article presents alternative version of Bayesian vector auto-regression model with Laplace distributed innovations. Bayesian estimation in such model is more computationally demanding than estimation in a model with normally distributed innovations, but because of the heavier tails of Laplace distribution, it is more robust. In the article I try to present the way of proceeding with the estimation, obtaining a full posterior distribution of the parameters as a result. At the end an efficient algorithm is sketched, but this part of the research is still unfinished. (en)
Title
  • Bayesian vector auto-regression model with Laplace errors applied to financial market data
  • Bayesian vector auto-regression model with Laplace errors applied to financial market data (en)
skos:prefLabel
  • Bayesian vector auto-regression model with Laplace errors applied to financial market data
  • Bayesian vector auto-regression model with Laplace errors applied to financial market data (en)
skos:notation
  • RIV/67985556:_____/10:00346969!RIV11-MSM-67985556
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(1M0572), P(GA102/08/0567), Z(AV0Z10750506)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 248501
http://linked.open...ai/riv/idVysledku
  • RIV/67985556:_____/10:00346969
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • auto-regression; robust; parameter estimation (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [53088D18E15E]
http://linked.open...v/mistoKonaniAkce
  • České Budějovice
http://linked.open...i/riv/mistoVydani
  • České Budějovice
http://linked.open...i/riv/nazevZdroje
  • Proceedings of Mathematical Methods in Economics 2010
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Šindelář, Jan
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
http://linked.open...n/vavai/riv/zamer
number of pages
http://purl.org/ne...btex#hasPublisher
  • University of South Bohemia, Faculty of Economics
https://schema.org/isbn
  • 978-80-7394-218-2
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