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stat.CO2019
Efficient Bayesian inference for nonlinear state space models with univariate autoregressive state equation
Alexander Kreuzer, Claudia Czado
Latent autoregressive processes are a popular choice to model time varying parameters. These models can be formulated as nonlinear state space models for which inference is not str…
stat.CO2018★ 2 cited
Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo
Alexander Kreuzer, Claudia Czado
For modeling multivariate financial time series we propose a single factor copula model together with stochastic volatility margins. This model generalizes single factor models rel…