Anthony Osuntuyi
Biographic Data
| ID | 8920820 |
|---|---|
| NAME | Anthony Osuntuyi |
| GIVEN NAMES | Anthony |
| FAMILY NAME | Osuntuyi |
| SIGNATURE | OSUNTUYI A |
| AFFILIATIONS | Ca’ Foscari University of Venice, Venice, Italy |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2024 |
| LATEST PUBLICATION YEAR | 2024 |
| H-INDEX | 0 |
Bayesian Nonparametric Panel Markov-Switching GARCH Models
This article proposes Bayesian nonparametric inference for panel Markov-switching GARCH models. The model incorporates series-specific hidden Markov chain processes that drive the GARCH parameters. To cope with the high-dimensionality of the parameter space, the article assumes soft parameter pooling through a hierarchical prior distribution and introduces cross sectional clustering through a Bayesian nonparametric prior distribution. An MCMC pos…
No prominent works on this page.
Bayesian Nonparametric Panel Markov-Switching GARCH Models
This article proposes Bayesian nonparametric inference for panel Markov-switching GARCH models. The model incorporates series-specific hidden Markov chain processes that drive the GARCH parameters. To cope with the high-dimensionality of the parameter space, the article assumes soft parameter pooling through a hierarchical prior distribution and introduces cross sectional clustering through a Bayesian nonparametric prior distribution. An MCMC pos…
Artificial Intelligence (1 work) · Autoregressive conditional heteroskedasticity (1 work) · Bayesian inference (1 work) · Bayesian probability (1 work) · Computer Science (1 work) · Econometrics (1 work) · Financial Risk and Volatility Modeling (1 work) · Markov chain (1 work) · Markov chain Monte Carlo (1 work) · Mathematics (1 work)