Adam Kolkiewicz

Independent

SCHOLARLY PAPERS

8

DOWNLOADS

0

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (8)

1.

Threshold Stochastic Conditional Duration Model for Transaction Data

Posted: 03 Sep 2014 Last Revised: 01 Jan 2015
Tony S. Wirjanto, Zhongxian Men and Adam Kolkiewicz
University of Waterloo - School of Accounting and Finance, Independent and Independent

Abstract:

Loading...

Stochastic conditional duration; Threshold; Bayesian inference; Markov Chain Monte Carlo; Probability integral transform; Deviance information criterion

2.

Bayesian Inference of Multiscale Stochastic Conditional Duration Models

Posted: 03 Sep 2014
Tony S. Wirjanto, Zhongxian Men and Adam Kolkiewicz
University of Waterloo - School of Accounting and Finance, Independent and Independent

Abstract:

Loading...

Markov Chain Monte Carlo; Multiscale; Auxiliary particle filter; Probability integral transform; Deviance information criterion.

3.

Multiscale Stochastic Volatility Model with Heavy Tails and Leverage Effects

Posted: 02 Sep 2014
Tony S. Wirjanto, Zhongxian Men and Adam Kolkiewicz
University of Waterloo - School of Accounting and Finance, Independent and Independent

Abstract:

Loading...

Stochastic Volatility; Bayesian Inference; Markov Chain Monte Carlo; Leverage Effect; Acceptance-rejection; Slice Sampler.

4.

The Impacts of Financial Crisis on Sovereign Credit Risk Analysis in Asia and Europe

Posted: 01 Jul 2013
Min Zhang, Adam Kolkiewicz, Tony S. Wirjanto and Xindan Li
Independent, Independent, University of Waterloo - School of Accounting and Finance and Nanjing University

Abstract:

Loading...

Sovereign credit risk, financial crisis, Credit Default Swaps data, Asia, Europe, commonality, local and global, factors, principal component analysis, pricing model, maximum likelihood

5.

A Threshold Stochastic Conditional Duration Model for Financial Transaction Data

Posted: 31 Mar 2013 Last Revised: 01 Jan 2015
Zhongxian Men, Tony S. Wirjanto and Adam Kolkiewicz
Independent, University of Waterloo - School of Accounting and Finance and Independent

Abstract:

Loading...

Threshold, MCMC, Auxiliary particle filter, Deviance information criterion

6.

Stochastic Conditional Duration Models with Mixture Processes

Posted: 31 Mar 2013 Last Revised: 01 Jan 2015
Tony S. Wirjanto, Adam Kolkiewicz and Zhongxian Men
University of Waterloo - School of Accounting and Finance, Independent and Independent

Abstract:

Loading...

Stochastic conditional duration, Mixture of distributions, Bayesian inference, Markov Chain Monte Carlo, Leverage effect, Slice sampler

7.

Bayesian Analysis of a Threshold Stochastic Volatility Model

Posted: 31 Mar 2013
Tony S. Wirjanto, Adam Kolkiewicz and Zhongxian Men
University of Waterloo - School of Accounting and Finance, Independent and Independent

Abstract:

Loading...

Threshold Stochastic Volatility, Bayesian Inference, MCMC, Deviance Information Criteria

8.

Bayesian Inference of Asymmetric Stochastic Conditional Duration Models

Posted: 31 Mar 2013 Last Revised: 01 Jan 2015
Zhongxian Men, Adam Kolkiewicz and Tony S. Wirjanto
Independent, Independent and University of Waterloo - School of Accounting and Finance

Abstract:

Loading...

Stochastic Duration, Bayesian Inference, Markov Chain Monte Carlo, Leverage Effect, Acceptance-rejection, Slice Sampler