Sylvia Fruhwirth-Schnatter

Johannes Kepler University - Department of Applied Statistics and Econometrics

Altenbergerstrasse 69

Linz

Austria

SCHOLARLY PAPERS

9

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Scholarly Papers (9)

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 531 (51,019)
Citation 1

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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 142 (203,318)
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 88 (286,360)

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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 25 (490,852)

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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

CEPR Discussion Paper No. 4650
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 (501,923)
Citation 1
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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 20 (519,341)

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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

Journal of Time Series Analysis, Vol. 23, No. 4, pp. 425-458, 2002
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 (573,033)
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Bayesian analysis, bridge sampling, MCMC estimation, model selection, switching ARCH-models

8.

Estimating Marginal Likelihoods for Mixture and Markov Switching Models Using Bridge Sampling Techniques

Econometrics Journal, Vol. 7, No. 1, pp. 143-167, June 2004
Number of pages: 25 Posted: 09 Jul 2004
Sylvia Fruhwirth-Schnatter
Johannes Kepler University - Department of Applied Statistics and Econometrics
Downloads 9 (585,642)
Citation 2
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Bayesian model choice, bridge sampling technique, marginal likelihoods, Markov switching models, mixture models

9.

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

Abstract:

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