18 citations · 36 across the 14 of their papers we have counts for
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stat.AP2017★ 3 cited
Stochastic Volatily Models using Hamiltonian Monte Carlo Methods and Stan
David S. Dias, Ricardo S. Ehlers
This paper presents a study using the Bayesian approach in stochastic volatility models for modeling financial time series, using Hamiltonian Monte Carlo methods (HMC). We propose…
stat.CO2017
Zero Variance and Hamiltonian Monte Carlo Methods in GARCH Models
Rafael S. Paixão, Ricardo S. Ehlers
In this paper, we develop Bayesian Hamiltonian Monte Carlo methods for inference in asymmetric GARCH models under different distributions for the error term. We implemented Zero-va…
stat.CO2017
BDSAR: a new package on Bregman divergence for Bayesian simultaneous autoregressive models
Ian M Danilevicz, Ricardo S Ehlers
BDSAR is an R package which estimates distances between probability distributions and facilitates a dynamic and powerful analysis of diagnostics for Bayesian models from the class…