Generalized Gamma Stochastic Volatility Models

广义伽马随机波动率模型

• 批准号: 26780135
• 负责人: LeonG Roberto
• 金额: $ 0.58万
• 依托单位: National Graduate Institute for Policy Studies
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Young Scientists (B)
• 财政年份: 2014
• 资助国家: 日本
• 起止时间: 2014-04-01 至 2017-03-31
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-26780135/
• 关键词: Stochastic Volatility; Markov Chain Monte Carlo; Generalized Gamma; Particle Filter; Parallel Computing; C++; Rcpp; Stochastic Volatiliy; Gibbs Sampling; Flexible Models

项目成果

Financial development, structure and growth: New data, method and results

金融发展、结构和增长：新数据、方法和结果

• DOI: 10.1016/j.intfin.2016.04.002
• 发表时间: 2016
• 期刊: Journal of International Financial Markets, Institutions and Money
• 作者: Luintel;Kul B;M. Khan;R. Leon-Gonzalez and G. Li
• 通讯作者: R. Leon-Gonzalez and G. Li

Sparse Inverted Wishart Processes for Multivariate Stochastic Volatility

多元随机波动率的稀疏逆 Wishart 过程

• 发表时间: 2016
• 作者: Leon-Gonzalez;R.;岩田幸訓;Roberto Leon-Gonzalez;Roberto Leon-Gonzalez
• 通讯作者: Roberto Leon-Gonzalez

Roberto Leon Gonzalez 研究室ホームページ

罗伯托·莱昂·冈萨雷斯实验室主页

Invariant Inference and Efficient Computation in the Static Factor Model

• DOI: 10.1080/01621459.2017.1287080
• 发表时间: 2013-06
• 期刊: Journal of the American Statistical Association
• 影响因子: 3.7
• 作者: Joshua Chan;R. León-González;Rodney W. Strachan

Endogeneity and Panel Data in Growth Regressions: A Bayesian Model Averaging Approach

• DOI: 10.1016/j.jmacro.2015.07.003
• 发表时间: 2015-12
• 期刊: Journal of Macroeconomics
• 影响因子: 1.4
• 作者: R. León-González;D. Montolio