Zhongfang He
Biographic Data
| ID | 8920956 |
|---|---|
| NAME | Zhongfang He |
| GIVEN NAMES | Zhongfang |
| FAMILY NAME | He |
| SIGNATURE | HE Z |
| AFFILIATIONS | Royal Bank of Canada |
| 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 |
A Dynamic Binary Probit Model with Time-Varying Parameters and Shrinkage Prior
This article studies a time series binary probit model in which the underlying latent variable depends on its lag and exogenous regressors. The regression coefficients for the latent variable are allowed to vary over time to capture possible model instability. Bayesian shrinkage priors are applied to automatically differentiate fixed and truly time-varying coefficients and thus avoid unnecessary model complexity. I develop an MCMC algorithm for m…
No prominent works on this page.
A Dynamic Binary Probit Model with Time-Varying Parameters and Shrinkage Prior
This article studies a time series binary probit model in which the underlying latent variable depends on its lag and exogenous regressors. The regression coefficients for the latent variable are allowed to vary over time to capture possible model instability. Bayesian shrinkage priors are applied to automatically differentiate fixed and truly time-varying coefficients and thus avoid unnecessary model complexity. I develop an MCMC algorithm for m…
Bayes estimator (1 work) · Bayesian probability (1 work) · Computer Science (1 work) · Econometrics (1 work) · Financial Risk and Volatility Modeling (1 work) · Kalman filter (1 work) · Latent variable (1 work) · Markov chain Monte Carlo (1 work) · Mathematics (1 work) · Monetary Policy and Economic Impact (1 work)