Sumários
Model specification and estimation strategies
20 outubro 2025, 19:00 • Szabolcs Sebestyén
MCMC Applications
- Geometric Brownian Motion
- Time-Varying Equity Premium
- Stochastic Volatility
Model specification and estimation strategies
20 outubro 2025, 17:30 • Szabolcs Sebestyén
Kalman Filtering
- State-Space Models
- The Linear Kalman Filter
- Application: Stock and Watson’s Dynamic Factor Model
- A More Efficient Algorithm
Model specification and estimation strategies
6 outubro 2025, 19:00 • Szabolcs Sebestyén
Metropolis-Hastings
Model specification and estimation strategies
6 outubro 2025, 17:30 • Szabolcs Sebestyén
Metropolis-Hastings
Model specification and estimation strategies
29 setembro 2025, 19:00 • Szabolcs Sebestyén
Gibbs sampling