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Forecasting exchange rates: a robust regression approach

PREMINGER, Arie; FRANCK, Raphael - Center for Operations Research and Econometrics (CORE), … - 2005

The least squares estimation method as well as other ordinary estimation method for regression models can be severely affected by a small number of outliers, thus providing poor out-of-sample forecasts. This paper suggests a robust regression approach,based on the S-estimation method, to...

Persistent link: https://www.econbiz.de/10005008478

Hierarchical shrinkage priors for dynamic regressions with many predictors

KOROBILIS, Dimitris - Center for Operations Research and Econometrics (CORE), … - 2011

This paper builds on a simple unified representation of shrinkage Bayes estimators based on hierarchical Normal-Gamma priors. Various popular penalized least squares estimators for shrinkage and selection in regression models can be recovered using this single hierarchical Bayes formulation....

Persistent link: https://www.econbiz.de/10010610451

Adaptive polar sampling with an application to a Bayes measure of value-at-risk

BAUWENS, Luc; BOS, Charles S.; DIJK, Herman K. VAN - Center for Operations Research and Econometrics (CORE), … - 1999

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlo method for Bayesian analysis of models with ill-behaved posterior distributions. In order to sample efficiently from such a distribution, location-scale transformation and a transformation to polar coordinates are used....

Persistent link: https://www.econbiz.de/10005042753

Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.

Bauwens, L.; Bos, C.S.; Van Dijk, H.K. - Center for Operations Research and Econometrics (CORE), … - 1999

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlo method for Bayesian analysis of models with ill-behaved posterior distributions. In order to sample efficiency from such a distribution, location-scale transformation and a transformation to polar coordinates are used.

Persistent link: https://www.econbiz.de/10005779535

Simulating with Rice Coalitionally Stable Burden Sharing Agreements for the Climate Change Problem.

Eyckmans, J.; Tulkens, H. - Center for Operations Research and Econometrics (CORE), … - 1999

In this paper we test empirically with the Nordhaus and Yang (1996) RICE model the core property of the transfer scheme advocated by Germain, Toint and Tulkens (1997). This scheme is designed to sustain full cooperation in a voluntary international environmental agreement by making all countries...

Persistent link: https://www.econbiz.de/10005634152

Trade integration and trade imbalances in the European Union: a network perspective

KRINGS, Gautier M.; CARPANTIER, Jean-François; … - Center for Operations Research and Econometrics (CORE), … - 2013

We study the ever more integrated and ever more unbalanced trade relationships between European countries. To better capture the complexity of economic networks, we propose two global measures that assess the trade integration and the trade imbalances of the European countries. These measures...

Persistent link: https://www.econbiz.de/10010735618

Diffusion and contagion in networks with heterogeneous agents and homophily

JACKSON, Matthew O.; LOPEZ-PINTADO, Dunia - Center for Operations Research and Econometrics (CORE), … - 2012

We study how a behavior (an idea, buying a product, having a disease, adopting a cultural fad or a technology) spreads among agents in an a social network that exhibits segregation or homophily (the tendency of agents to associate with others similar to themselves). Individuals are distinguished...

Persistent link: https://www.econbiz.de/10010927693

On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks

HOOGERHEIDE, Lennart F.; KAASHOEK, Johan F.; DIJK, … - Center for Operations Research and Econometrics (CORE), … - 2005

Likelihoods and posteriors of instrumental variable regression models with strong endogeneity and/or weak instruments may exhibit rather non-elliptical contours in the parameter space. This may seriously affect inference based on Bayesian credible sets. When approximating such contours using...

Persistent link: https://www.econbiz.de/10005043139

Simulation based Bayesian econometric inference: principles and some recent computational advances

HOOGERHEIDE, Lennart F.; DIJK, Herman K. VAN; OEST, … - Center for Operations Research and Econometrics (CORE), … - 2007

In this paper we discuss several aspects of simulation based Bayesian econometric inference. We start at an elementary … level on basic concepts of Bayesian analysis; evaluating integrals by simulation methods is a crucial ingredient in Bayesian … inference. Next, the most popular and well-known simulation techniques are discussed, the MetropolisHastings algorithm and Gibbs …

Persistent link: https://www.econbiz.de/10005043475

Stable Dynamics in Transportation Systems.

Nesterov, Y.; Palma, A. - Center for Operations Research and Econometrics (CORE), … - 2000

We present a new class of transportation systems, the stable dynamics models, which provides a natural link between the static and dynamic traffic network models. They can be seen as steady states of dynamic networks (flows are constant in time). These models turn out to be very easy to study...

Persistent link: https://www.econbiz.de/10005669352