Arnold Zellner, a leading economist at the University of Chicago Booth School of Business who pioneered the field of Bayesian econometrics, died August 11 at his home in the Hyde Park neighborhood of ...
Fields: Monetary Macroeconomics, Time Series Econometrics Email: [[nathrockmorton]] Office (Phone): Chancellors 433 (757-221-1318) Personal Website Google Scholar Profile B.S., Mathematics and ...
We estimate by Bayesian inference the mixed conditional heteroskedasticity model of Haas et al. (2004a Journal of Financial Econometrics 2, 211–50). We construct a Gibbs sampler algorithm to compute ...
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