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- Publisher
- Springer Journals
- Copyright
- Copyright © 2017 by Springer-Verlag GmbH Germany
- Subject
- Statistics; Statistics, general; Statistical Theory and Methods; Statistics for Business/Economics/Mathematical Finance/Insurance; Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences; Statistics for Life Sciences, Medicine, Health Sciences; Statistics for Social Science, Behavorial Science, Education, Public Policy, and Law
- ISSN
- 1618-2510
- eISSN
- 1613-981X
- DOI
- 10.1007/s10260-017-0384-0
- Publisher site
- See Article on Publisher Site
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.
Journal
Statistical Methods & Applications – Springer Journals
Published: Jul 10, 2017