Autori
Griffin, Jim
Kalli, Maria
Steel, Mark

Titolo
Discussion of "Nonparametric Bayesian Inference in Applications": Bayesian nonparametric methods in econometrics
Periodico
Statistical methods & applications : Journal of the Italian Statistical Society
Anno: 2018 - Volume: 27 - Fascicolo: 2 - Pagina iniziale: 207 - Pagina finale: 218

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.



SICI: 1618-2510(2018)27:2<207:DO"BII>2.0.ZU;2-Q

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