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Discussion of “Nonparametric Bayesian Inference in Applications”: Bayesian nonparametric methods in econometrics

Jim Griffin, Maria Kalli and Mark Steel
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Maria Kalli: Canterbury Christ Church University

Statistical Methods & Applications, 2018, vol. 27, issue 2, No 2, 207-218

Abstract: Abstract The use of Bayesian nonparametrics models has increased rapidly over the last few decades driven by increasing computational power and the development of efficient Markov chain Monte Carlo algorithms. We review some applications of these models in economic applications including: volatility modelling (using both stochastic volatility models and GARCH-type models) with Dirichlet process mixture models, uses in portfolio allocation problems, long memory models with flexible forms of time-dependence, flexible extension of the dynamic Nelson-Siegel model for interest rate yields and multivariate time series models used in macroeconometrics.

Keywords: Dirichlet process; Normalized random measures with independent increments; Volatility; Infinite mixture model; Interest rates; Portfolio allocation; Long memory; Time series (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s10260-017-0384-0

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