Sylvia Fruhwirth-Schnatter

Johannes Kepler University - Department of Applied Statistics and Econometrics

Altenbergerstrasse 69

Linz

Austria

SCHOLARLY PAPERS

8

DOWNLOADS

883

SSRN CITATIONS
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in Total Papers Citations

7

CROSSREF CITATIONS

25

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 543 (62,855)
Citation 1

Abstract:

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Heston model, MCMC, parameterization, stochastic volatility

2.

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 146 (244,442)
Citation 4

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Bayesian Analysis, Conjoint Analysis, Change Points

3.

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 106 (309,737)
Citation 1

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

4.

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, Johannes Kepler University Linz - Department of Economics, Vienna University of Economics and Business, University Linz - Department of Economics and Johannes Kepler University Linz
Downloads 32 (552,434)

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

5.

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 (607,525)
Citation 5
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Panel data, clustering, mixture modelling, Markov Switching, Markov chain Monte Carlo

6.

When is the Best Time to Give Birth?

IZA Discussion Paper No. 8396
Number of pages: 29 Posted: 06 Sep 2014
Sylvia Fruhwirth-Schnatter, Christoph Pamminger, Andrea Weber and Rudolf Winter-Ebmer
Johannes Kepler University - Department of Applied Statistics and Econometrics, Johannes Kepler University Linz, Vienna University of Economics and Business and Johannes Kepler University Linz - Department of Economics
Downloads 22 (614,404)

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

7.

Bayesian Analysis of Switching Arch Models

Number of pages: 34 Posted: 03 Dec 2002
Sylvia Kaufmann and Sylvia Fruhwirth-Schnatter
Oesterreichische Nationalbank - Economic Studies Division and Johannes Kepler University - Department of Applied Statistics and Econometrics
Downloads 11 (694,058)
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Bayesian analysis, bridge sampling, MCMC estimation, model selection, switching ARCH-models

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