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Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation?
Hoogerheide, Lennart F.; Ardia, David; Corre, Nienke - Tinbergen Instituut - 2011
-known GARCH models for density prediction of daily S&P 500 and Nikkei 225 index returns, a comparison is provided between …
Persistent link: https://www.econbiz.de/10011256766
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An Alternative Bayesian Approach to Structural Breaks in Time Series Models
Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick J.C. van - Tinbergen Instituut - 2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10011257521
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Combination Schemes for Turning Point Predictions
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - Tinbergen Instituut - 2011
deal with the forecasting performance of a given set of models and possibly providing better turning point predictions. We …
Persistent link: https://www.econbiz.de/10011256621
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Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling
Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Instituut - 2008
This discussion paper resulted in a publication in the <I>International Journal of Forecasting</I> (2010). Vol. 26 …(2), 231-247.<P> An efficient and accurate approach is proposed for forecasting Value at Risk [VaR] and Expected Shortfall [ES … empirical GARCH model with Student-<I>t</I> errors for daily S&P 500 returns. The results indicate that the proposed QERMit …
Persistent link: https://www.econbiz.de/10011256664
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Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - Tinbergen Instituut - 2011
Using a Bayesian framework this paper provides a multivariate combination approach to prediction based on a distributional state space representation of predictive densities from alternative models. In the proposed approach the model set can be incomplete. Several multivariate time-varying...
Persistent link: https://www.econbiz.de/10011256724
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Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights
Hoogerheide, Lennart; Kleijn, Richard; Ravazzolo, Francesco - Tinbergen Instituut - 2009
investment strategy including transaction costs. Another empirical example refers to forecasting US economic growth over the … business cycle. It suggests that time varying combination schemes may be very useful in business cycle analysis and forecasting …
Persistent link: https://www.econbiz.de/10011256933
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Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - Tinbergen Instituut - 2011
We propose a multivariate combination approach to prediction based on a distributional state space representation of the weights belonging to a set of Bayesian predictive densities which have been obtained from alternative models. Several specifications of multivariate time-varying weights are...
Persistent link: https://www.econbiz.de/10011257105
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Do Experts incorporate Statistical Model Forecasts and should they?
Legerstee, Rianne; Franses, Philip Hans; Paap, Richard - Tinbergen Instituut - 2011
Experts can rely on statistical model forecasts when creating their own forecasts. Usually it is not known what experts actually do. In this paper we focus on three questions, which we try to answer given the availability of expert forecasts and model forecasts. First, is the expert forecast...
Persistent link: https://www.econbiz.de/10011257244
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Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox
Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - Tinbergen Instituut - 2013
information. The combination weights are time-varying and may depend on past predictive forecasting performances and other …
Persistent link: https://www.econbiz.de/10011257352
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Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation
Gatarek, Lukasz; Hoogerheide, Lennart; Hooning, Koen; … - Tinbergen Instituut - 2013
posterior and traditional Bayesian Model Averaging techniques in applications of Value-at-Risk prediction in GARCH models. …
Persistent link: https://www.econbiz.de/10011255481