Search Results - subject:"predictive likelihood"

Bayesian forecast combination for VAR models

Andersson, Michael K.; Karlsson, Sune - 2007

variables of interest and we construct model weights from the predictive likelihood of the forecast variables. The procedure is …

Persistent link: https://www.econbiz.de/10010320769

Modeling foreign exchange rates with jumps

Maheu, John M; McCurdy, Thomas H - University of Toronto, Department of Economics - 2007

We propose a new discrete-time model of returns in which jumps capture persistence in the conditional variance and higher-order moments. Jump arrival is governed by a heterogeneous Poisson process. The intensity is directed by a latent stochastic autoregressive process, while the jump-size...

Persistent link: https://www.econbiz.de/10005704777

Bayesian forecast combination for VAR models

Andersson, Michael K; Karlsson, Sune - Sveriges Riksbank - 2007

variables of interest and we construct model weights from the predictive likelihood of the forecast variables. The procedure is …

Persistent link: https://www.econbiz.de/10005423734

Bayesian Forecast Combination for VAR Models

Andersson, Michael K; Karlsson, Sune - Handelshögskolan, Örebro Universitet - 2007

of interest and we construct model weights from the predictive likelihood of the forecast variables. The procedure is …

Persistent link: https://www.econbiz.de/10005644799

It's all about volatility of volatility: evidence from a two-factor stochastic volatility model

Grassi, Stefano; Magistris, Paolo Santucci de - School of Economics, University of Kent - 2013

The persistent nature of equity volatility is investigated by means of a multi-factor stochastic volatility model with time varying parameters. The parameters are estimated by means of a sequential matching procedure which adopts as auxiliary model a time-varying generalization of the HAR model...

Persistent link: https://www.econbiz.de/10010903471

Forecast Combination and Model Averaging using Predictive Measures

Eklund, Jana; Karlsson, Sune - 2005

from the predictive likelihood rather than the standard marginal likelihood. The use of predictive measures of fit offers … greater protection against in-sample overfitting and improves forecast performance. For the predictive likelihood we show … application to forecasts of the Swedish inflation rate where forecast combination using the predictive likelihood outperforms …

Persistent link: https://www.econbiz.de/10010321289

Forecast combination and model averaging using predictive measures

Eklund, Jana; Karlsson, Sune - 2005

Persistent link: https://www.econbiz.de/10011584029

Forecast Combination and Model Averaging using Predictive Measures

Eklund, Jana; Karlsson, Sune - Sveriges Riksbank - 2005

Persistent link: https://www.econbiz.de/10005649107

A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation

Hoogerheide, Lennart; Opschoor, Anne; Dijk, Herman K. van - In: Journal of Econometrics 171 (2012) 2, pp. 101-120

A class of adaptive sampling methods is introduced for efficient posterior and predictive simulation. The proposed methods are robust in the sense that they can handle target distributions that exhibit non-elliptical shapes such as multimodality and skewness. The basic method makes use of...

Persistent link: https://www.econbiz.de/10010588322

Two-Stage Sampling from a Prediction Point of View

Bjørnstad, Jan F.; Ytterstad, Elinor - 2004

considered as one of predicting the unobserved part Z of the total, and the concept of predictive likelihood is studied …. Prediction intervals and a predictor for the population total are derived for the normal case, based on predictive likelihood …. The predictor obtained from the predictive likelihood is shown to be approximately uniformly optimal for large sample size …

Persistent link: https://www.econbiz.de/10011968153