Hedibert Freitas Lopes: Published papers and technical reports

1. Lopes, McCulloch and Tsay (2008) Choleski stochastic volatility.

2. Hore, Lopes and McCulloch (2008) General equilibrium option pricing under counter-cyclical growth and long-run risk.

3. Carvalho, Lopes and Polson (2008) Particle Mixture Modeling.

4. Ausin and Lopes(2008) Time-varying variances through copulas.

5. Lopes, Schmidt, Salazar, Gomez and Achkar (2008) Spatially hierarchical factor models: building a social-environmental vulnerability index for Uruguay.

6. Lopes, Salazar and Gamerman (2008) Generalized spatial dynamic factor models.

7. Liechty, Lietchy, and Lopes(2008) Bayesian grouped factor models and industry/debt classification schemes.

8. Abanto, Migon and Lopes(2008) Bayesian modeling of financial returns: a relationship between volatility and trading volume.

9. Zambaldi, Aranha, Lopes and Politi (2008) Credit products for small/medium size business enterprizes in Brazil: an adaptive marking approach.

10. Lopes and Polson (2008) Extracting S&P500 and NDX100 volatility: Credit Crunch of 2007 (Submitted)

11. Carvalho, Johannes, Lopes and Polson (2008) Particle learning and smoothing (Submitted)

12. Vibranovski, Lopes, Karr and Long (2008) Male germline X inactivation and the evolution of male genes in Drosophila. (Submitted)

13. Lopes(2008) Generalized Pareto models with time-varying tail behavior (Submitted)

14. Lopes, Salazar and Gamerman (2008) Spatial dynamic factor models, Bayesian Analysis (Accepted)

15. Silva and Lopes (2008) Copula, marginal distributions and model selection: A Bayesian note Statistics and Computing, 18, 313-20.

16. Ausin and Lopes (2007) Bayesian estimation of ruin probabilities with heterogeneous and heavy-tailed insurance claim size distribution Australian & New Zealand Journal of Statistics, 49, 415-34.

17. Lopes, Mueller and Ravishanker (2007) Bayesian computational methods in biomedical research in Computational Methods in Biomedical Research, edited by R. Khattree and D. N. Naik. Marcel Dekker/Taylor & Francis, 211-59.

18. Lopes and Carvalho (2007) Factor stochastic volatility with time varying loadings and Markov switching regimes Journal of Statistical Planning and Inference, 137, 3082-3091.

19. Carvalho and Lopes (2007) Simulation-based sequential analysis of Markov switching stochastic volatility models, Computational Statistics and Data Analysis, 51, 4526-4542.

20. Lopes and Salazar (2006a) Bayesian model uncertainty in smooth transition autoregressions, Journal of Time Series Analysis, 27, 99-117.

21. Lopes and Salazar (2006b) Time series mean level and stochastic volatility modeling by smooth transition autoregressions: a Bayesian approach, In Fomby, T.B. (Ed.) Advances in Econometrics: Econometric Analysis of Financial and Economic Time Series/Part B, Volume 20, 229-242.

22. Silva, Lopes and Migon (2006) The extended generalized inverse Gaussian distribution for log-linear and stochastic volatility models, Brazilian Journal of Probability and Statistics, 20, 67-91.

23. Migon, Gamerman, Lopes and Ferreira (2005) Dynamic models, In Dey, D. and Rao, C.R. (Eds.) Handbook of Statistics, Volume 25: Bayesian Thinking, Modeling and Computation, Chapter 19, 553-588.

24. Nobre, Schmidt and Lopes (2005) Spatio-temporal models for mapping the Incidence of malaria in Para, Environmetrics, 16, 291-304. (Abstract)

25. Lopes (2005) Factor stochastic volatility with time-varying loadings, Estadistica, 57, 75-91.

26. Lopes and West (2004) Bayesian model assessment in factor analysis, Statistica Sinica, 14, 41-67. (webpage)

27. Behrens, Lopes and Gamerman (2004) Bayesian analysis of extreme events with threshold estimation , Statistical Modelling, 4, 227-244. (webpage)

28. Mendes and Lopes (2004) Data driven estimates for mixtures, Computational Statistics and Data Analysis, 47, 583-598.

29. Lopes (2003) Expected posterior priors in factor analysis, Brazilian Journal of Probability and Statistics, 17, 91-105.

30. Lopes, Muller and Rosner (2003) Bayesian meta-analysis for longitudinal data models using multivariate mixture priors, Biometrics, 59, 66-75.

31. Lopes and Migon (2002) Comovements and contagion in emergent markets: stock indexes volatilities, Case Studies in Bayesian Statistics, Volume VI, 285-300, Springer-Verlag.

32. Huerta and Lopes (2000) Bayesian forecasting and inference in latent structure for the Brazilian industrial production index, Brazilian Review of Econometrics, 20, 1--26.

33. Lopes, Moreira and Schmidt (1999) Hyperparameter estimation in forecasting models, Computational statistics and data analysis, 29, pp. 387-410.

34. Moreira, Fiorencio and Lopes (1997) A multivariate model to forecast GNP, inflation and liquidity. The Brazilian Review of Econometrics, 17, pp. 67-111 (in portuguese).

35. Moreira, Fiorencio and Lopes (1996) Identification of the Brazilian GNP, inflation and liquidity common trends. Perspective of the Brazilian Economy, IPEA/RJ, page 129-139 (in portuguese).

36. Lima, Lopes, Moreira and Pereira (1995) Stochastic trends of the Brazilian GNP: effects of productivity growth rate and real interest rate shocks. Economic Research and Planning. 25, pp. 249-278 (in portuguese).

37. Migon, Lima and Lopes (1993). Dynamic effects of aggregate demand and supply disturbances: the Brazilian case. Brazilian Review of Economics, 47, 177-204 (in portuguese).