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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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Combined Density Nowcasting in an Uncertain Economic Environment
Aastveit, Knut Are; Ravazzolo, Francesco; Dijk, Herman … - Tinbergen Instituut - 2014
We introduce a Combined Density Nowcasting (CDN) approach to Dynamic Factor Models (DFM) that in a coherent way accounts for time-varying uncertainty of several model and data features in order to provide more accurate and complete density nowcasts. The combination weights are latent random...
Persistent link: https://www.econbiz.de/10011272583
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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
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Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - Tinbergen Instituut - 2011
logistic autoregressive processes, change over time and their dynamics are possible driven by the past forecasting performances … of the predictive densities. For illustrative purposes we apply it to combine White Noise and GARCH models to forecast …
Persistent link: https://www.econbiz.de/10011255843
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Time-varying Combinations of Predictive Densities using Nonlinear Filtering
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - Tinbergen Instituut - 2012
This discussion paper resulted in a publication in the 'Journal of Econometrics', 2013, 177(2), 213-232.<P> We propose a Bayesian combination approach for multivariate predictive densities which relies upon a distributional state space representation of the combination weights. Several...</p>
Persistent link: https://www.econbiz.de/10011255873
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Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - Tinbergen Instituut - 2013
Interactions between the eurozone and US booms and busts and among major eurozone economies are analyzed by introducing a panel Markov-switching VAR model well suitable for a multi-country cyclical analysis. The model accommodates changes in low and high data frequencies and endogenous...
Persistent link: https://www.econbiz.de/10011256321
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Bayesian Forecasting of Federal Funds Target Rate Decisions
Hauwe, Sjoerd van den; Dijk, Dick van; Paap, Richard - Tinbergen Instituut - 2011
decisions made by the Federal Open Market Committee (FOMC) from a forecasting perspective. The analysis is conducted for the …
Persistent link: https://www.econbiz.de/10011256487
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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