Sylvia Fruhwirth-Schnatter

Johannes Kepler University - Department of Applied Statistics and Econometrics

Altenbergerstrasse 69

Linz

Austria

SCHOLARLY PAPERS

8

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1,113

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10

CROSSREF CITATIONS

19

Scholarly Papers (8)

1.

Bayesian Estimation of the Multi-Factor Heston Stochastic Volatility Model

Number of pages: 37 Posted: 13 Dec 2007 Last Revised: 12 Mar 2014
Sylvia Fruhwirth-Schnatter and Leopold Sögner
Johannes Kepler University - Department of Applied Statistics and Econometrics and Institute for Advanced Studies (IHS)
Downloads 589 (86,797)
Citation 2

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Heston model, MCMC, parameterization, stochastic volatility

2.

Bayesian Exploratory Factor Analysis

IZA Discussion Paper No. 8338
Number of pages: 75 Posted: 02 Aug 2014
Gabriella Conti, Sylvia Fruhwirth-Schnatter, James J. Heckman and Remi Piatek
University of Chicago, Johannes Kepler University - Department of Applied Statistics and Econometrics, University of Chicago - Department of Economics and University of Chicago
Downloads 175 (316,386)
Citation 3

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Bayesian factor models, exploratory factor analysis, identifiability, marginal data augmentation, model expansion, model selection

3.

Unobserved Preference Changes in Conjoint Analysis

Number of pages: 32 Posted: 06 Sep 2006
Thomas Otter, Sylvia Fruhwirth-Schnatter and Regina Tuchler
Goethe University Frankfurt - Department of Marketing, Johannes Kepler University - Department of Applied Statistics and Econometrics and Department of Statistic
Downloads 166 (331,114)
Citation 5

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Bayesian Analysis, Conjoint Analysis, Change Points

4.

Bayesian Reconciliation of Return Predictability

Number of pages: 48 Posted: 11 Dec 2022
Borys Koval, Sylvia Fruhwirth-Schnatter and Leopold Sögner
Vienna Graduate School of Finance (VGSF), Johannes Kepler University - Department of Applied Statistics and Econometrics and Institute for Advanced Studies (IHS)
Downloads 54 (689,656)

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VAR, Return predictability, Bayesian Control Function approach, Shrinkage Priors

5.

The Quantity and Quality of Children: A Semi-Parametric Bayesian IV Approach

IZA Discussion Paper No. 8024
Number of pages: 34 Posted: 15 Mar 2014
Johannes Kepler University - Department of Applied Statistics and Econometrics, Gesundheit Österreich GmbH (GÖG), Vienna University of Economics and Business, University Linz - Department of Economics and Johannes Kepler University Linz
Downloads 54 (689,656)

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quantity-quality model of fertility, family size, human capital, health, semi-parametric Bayesian IV approach

6.

When is the Best Time to Give Birth?

IZA Discussion Paper No. 8396
Number of pages: 29 Posted: 06 Sep 2014
Johannes Kepler University - Department of Applied Statistics and Econometrics, Johannes Kepler University Linz, Austrian Institute of Economic Research (WIFO)Vienna University of Economics and Business and Johannes Kepler University Linz - Department of Economics
Downloads 52 (701,455)

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Multinomial Logit, Markov Chain Monte Carlo, Transition Data, family gap, timing of birth, fertility, Panel Data

7.

Model-Based Clustering of Multiple Time Series

Number of pages: 32 Posted: 02 Dec 2004
Sylvia Fruhwirth-Schnatter and Sylvia Kaufmann
Johannes Kepler University - Department of Applied Statistics and Econometrics and Oesterreichische Nationalbank - Economic Studies Division
Downloads 23 (924,225)
Citation 5
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Panel data, clustering, mixture modelling, Markov Switching, Markov chain Monte Carlo

8.

Markov Chain Monte Carlo Methods for Parameter Estimation in Multidimensional Continuous Time Markov Switching Models

Journal of Financial Econometrics, Vol. 8, Issue 1, pp. 88-121, 2010
Posted: 28 Dec 2009
Markus Hahn, Sylvia Fruhwirth-Schnatter and Jörn Sass
affiliation not provided to SSRN, Johannes Kepler University - Department of Applied Statistics and Econometrics and University of Kaiserslautern

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C11, C13, C15, C32, Bayesian inference, data augmentation, hidden Markov model, switching diffusion