"Bayesian vector auto-regression model with Laplace errors applied to financial market data"@en . "auto-regression; robust; parameter estimation"@en . "RIV/67985556:_____/10:00346969" . "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." . "P(1M0572), P(GA102/08/0567), Z(AV0Z10750506)" . . "Bayesian vector auto-regression model with Laplace errors applied to financial market data"@en . "7"^^ . . "248501" . "RIV/67985556:_____/10:00346969!RIV11-MSM-67985556" . . . "Bayesian vector auto-regression model with Laplace errors applied to financial market data" . . "1"^^ . "[53088D18E15E]" . . "978-80-7394-218-2" . "Proceedings of Mathematical Methods in Economics 2010" . . . "1"^^ . . . . . . . "\u010Cesk\u00E9 Bud\u011Bjovice" . "\u010Cesk\u00E9 Bud\u011Bjovice" . "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 . . "\u0160indel\u00E1\u0159, Jan" . . . "Bayesian vector auto-regression model with Laplace errors applied to financial market data" . "2010-09-08+02:00"^^ . "University of South Bohemia, Faculty of Economics" . . .