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-driven models. We consider dynamic count, intensity, duration, volatility and copula models, including new specifications that have …
Persistent link: https://www.econbiz.de/10009653053
This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the … parsimonious and effective GARCH(1,1) model with Student-<I>t</I> innovations. The estimation procedure is fully automatic and thus …
Persistent link: https://www.econbiz.de/10008838647
improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source … for longer horizon volatility forecasts. In this paper we explore the forecasting value of these high fre-quency series in … conjunction with a variety of volatility models for returns on the Standard & Poor's 100 stock index. We consider two so …
Persistent link: https://www.econbiz.de/10005136957
We introduce a new efficient importance sampler for nonlinear non-Gaussian state space models. By combining existing numerical and Monte Carlo integration methods, we obtain a general and efficient likelihood evaluation method for this class of models. Our approach is based on the idea that only...
Persistent link: https://www.econbiz.de/10008873337
Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that … towards volatility features of the time series. For the older electricity market of Nord Pool in Norway, it is found that a …
Persistent link: https://www.econbiz.de/10005137027
Novel periodic extensions of dynamic long memory regression models with autoregressive conditional heteroskedastic errors are considered for the analysis of daily electricity spot prices. The parameters of the model with mean and variance specifications are estimated simultaneously by the method...
Persistent link: https://www.econbiz.de/10005144404
Complete and Incomplete Econometric Models John Geweke Princeton University Press Princeton and Oxford Contents Series Editors' Introduction vii Preface ...
Persistent link: https://www.econbiz.de/10013503197
Several lessons learned from a Bayesian analysis of basic economic time series models by means of the Gibbs sampling algorithm are presented. Models include the Cochrane-Orcutt model for serial correlation, the Koyck distributed lag model, the Unit Root model, the Instrumental Variables model...
Persistent link: https://www.econbiz.de/10005504906
Dynamic models for credit rating transitions are important ingredients for dynamic credit risk analyses. We compare the properties of two such models that have recently been put forward. The models mainly differ in their treatment of systematic risk, which can be modeled either using discrete...
Persistent link: https://www.econbiz.de/10005504967
Several Bayesian model combination schemes, including some novel approaches that simultaneously allow for parameter uncertainty, model uncertainty and robust time varying model weights, are compared in terms of forecast accuracy and economic gains using financial and macroeconomic time series....
Persistent link: https://www.econbiz.de/10004964452