Sökning: "Oskar Gustafsson"

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  1. 1. Some Contributions to Heteroscedastic Time Series Analysis and Computational Aspects of Bayesian VARs

    Författare :Oskar Gustafsson; Pär Stockhammar; Domenico Giannone; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Time series; heteroscedasticity; variance stabilizing filters; Bayesian vector autoregressions; Bayesian optimization; variational inference; Statistics; statistik;

    Sammanfattning : Time-dependent volatility clustering (or heteroscedasticity) in macroeconomic and financial time series has been analyzed for more than half a century. The inefficiencies it causes in various inference procedures are well known and understood. Despite this, heteroscedasticity is surprisingly often neglected in practical work. LÄS MER