Qiao Yang

ShanghaiTech University - School of Entrepreneurship and Management

100 Haike Rd

Pudong Xinqu, Shanghai

China

SCHOLARLY PAPERS

4

DOWNLOADS

165

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Ideas:
“  Bayesian Econometrics, Financial Econometrics and Time Series Applications  ”

Scholarly Papers (4)

1.

Oil Price Shocks and Economic Growth: The Volatility Link

ShanghaiTech SEM Working Paper No. 2018-004
Number of pages: 40 Posted: 10 Apr 2018 Last Revised: 16 Oct 2019
John M. Maheu, Yong Song and Qiao Yang
McMaster University - Michael G. DeGroote School of Business, University of Melbourne and ShanghaiTech University - School of Entrepreneurship and Management
Downloads 72 (339,504)

Abstract:

Loading...

Bayes factors, predictive likelihoods, nonlinear dynamics, density forecast

2.

Stock Returns and Real Growth: A Bayesian Nonparametric Approach

ShanghaiTech SEM Working Paper No. 2018-003
Number of pages: 28 Posted: 10 Apr 2018 Last Revised: 26 Jun 2019
Qiao Yang
ShanghaiTech University - School of Entrepreneurship and Management
Downloads 51 (403,047)

Abstract:

Loading...

hierarchical Dirichlet process prior, beam sampling, Markov switch- ing, MCMC

3.

Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices

ShanghaiTech SEM Working Paper No. 2018-005
Number of pages: 36 Posted: 10 Apr 2018 Last Revised: 08 Nov 2018
Xin Jin, John M. Maheu and Qiao Yang
Shanghai University of Finance and Economics - School of Economics, McMaster University - Michael G. DeGroote School of Business and ShanghaiTech University - School of Entrepreneurship and Management
Downloads 37 (456,990)
Citation 2

Abstract:

Loading...

in finite hidden Markov model, Dirichlet process mixture, inverse-Wishart, predictive density, high-frequency data

4.

An Infinite Hidden Markov Model for Short-term Interest Rates

ShanghaiTech SEM Working Paper No. 2020-003
Number of pages: 34 Posted: 17 Jan 2020 Last Revised: 02 Mar 2020
John M. Maheu and Qiao Yang
McMaster University - Michael G. DeGroote School of Business and ShanghaiTech University - School of Entrepreneurship and Management
Downloads 5 (644,609)

Abstract:

Loading...

hierarchical Dirichlet process prior, beam sampling, Markov switching, MCMC