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~isPartOf:"BIS working papers"
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~isPartOf:"Working papers / Federal Reserve Bank of Boston"
~language:"eng"
~person:"Dijk, Herman K. van"
~person:"Florax, Raymond J. G. M."
~person:"Francois, Joseph F."
~person:"Gil-Alaña, Luis A."
~person:"Heckman, James J."
~person:"Koopman, Siem Jan"
~person:"Poot, Jacques"
~person:"Pozzi, Lorenzo"
~person:"Ravazzolo, Francesco"
~subject:"Bayesian inference"
~subject:"Börsenkurs"
~subject:"Kreditrisiko"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Meta-Analyse"
~subject:"Prognoseverfahren"
~subject:"Schätzung"
~subject:"Simulation"
~subject:"USA"
~subject:"United States"
~subject:"Volatilität"
~subject:"Wirtschaftswachstum"
~subject:"World"
~type_genre:"Collection of articles written by one author"
~type_genre:"Handbuch"
~type_genre:"Non-commercial literature"
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Dijk, Herman K. van
Florax, Raymond J. G. M.
Francois, Joseph F.
Gil-Alaña, Luis A.
Heckman, James J.
Koopman, Siem Jan
Poot, Jacques
Pozzi, Lorenzo
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61
Bayesian forecasting of value at risk and expected shortfall using adaptive importance sampling
Hoogerheide, Lennart
;
Dijk, Herman K. van
-
2008
An efficient and accurate approach is proposed for forecasting Value at Risk [VaR] and Expected Shortfall [ES] measures in a Bayesian framework. This consists of a new adaptive importance sampling method for Quantile Estimation via Rapid Mixture of t approximations [QERMit]. As a first step the...
Persistent link: https://www.econbiz.de/10011377096
Saved in:
62
Dynamic factor analysis in the presence of missing data
Jungbacker, Borus
;
Koopman, Siem Jan
;
Wel, Michel van der
-
2011
This paper concerns estimating parameters in a high-dimensional dynamic factormodel by the method of maximum likelihood. To accommodate missing data in theanalysis, we propose a new model representation for the dynamic factor model. Itallows the Kalman filter and related smoothing methods to...
Persistent link: https://www.econbiz.de/10011377572
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63
To bridge, to warp or to wrap? : a comparative study of Monte Carlo methods for efficient evaluation of marginal likelihoods
Ardia, David
;
Hoogerheide, Lennart
;
Dijk, Herman K. van
-
2009
This discussion paper led to a publication in 'Computational Statistics & Data Analysis' 56(11), pp. 3398-1414.Important choices for efficient and accurate evaluation of marginal likelihoods by means of Monte Carlo simulation methods are studied for the case of highly non-elliptical posterior...
Persistent link: https://www.econbiz.de/10011377602
Saved in:
64
Macro, industry and frailty effects in defaults : the 2008 credit crisis in perspective
Koopman, Siem Jan
;
Lucas, André
;
Schwaab, Bernd
-
2010
We determine the magnitude and nature of systematic default risk using 1971{2009) default data from Moody's. We disentangle systematic risk factors due to business cycle effects, common default dynamics (frailty), and industry-specific dynamics (including contagion). To quantify the contribution...
Persistent link: https://www.econbiz.de/10011379607
Saved in:
65
World
equity premium based risk aversion estimates
Pozzi, Lorenzo
;
Vries, Casper G. de
;
Zenhorst, J.
-
2010
confidence band for the
world
risk aversion estimate from the pooled country data is much tighter and the pooled point estimate …
Persistent link: https://www.econbiz.de/10011379612
Saved in:
66
A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
-
2010
We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...
Persistent link: https://www.econbiz.de/10011380135
Saved in:
67
Evidence on a real business cycle model with neutral and investment-specific technology shocks using Bayesian model averaging
Strachan, Rodney W.
;
Dijk, Herman K. van
-
2010
-
Version 17 May 2010
The empirical support for a real business cycle model with two technology shocks is evaluated using a Bayesian model averaging procedure. This procedure makes use of a finite mixture of many models within the class ofvector autoregressive (VAR) processes. The linear VAR model is extendedto...
Persistent link: https://www.econbiz.de/10011380727
Saved in:
68
Systemic risk diagnostics
Schwaab, Bernd
;
Lucas, André
;
Koopman, Siem Jan
-
2010
, and the rest of the
world
. Controlling for global,region-specific, and industry effects, we construct coincident measures …
Persistent link: https://www.econbiz.de/10011382067
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69
Bayes estimates of Markov trends in possibly cointegrated series : an application to US consumption and income
Paap, Richard
;
Dijk, Herman K. van
-
1999
Stylized facts show that the average growth rates of US per capitaconsumption and income differ in recession and expansion periods.Since a linear combination of such series does not have to be a constant meanprocess, standard cointegration analysis between the variables, toexamine the permanent...
Persistent link: https://www.econbiz.de/10011301165
Saved in:
70
Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.
;
Mahieu, Ronald J.
;
Dijk, Herman K. van
-
1999
Exchange rates typically exhibit time-varying patterns in both means andvariances. The histograms of such series indicate heavy tails. In thispaper we construct models which enable a decision-maker to analyze theimplications of such time series patterns for currency risk management.Our approach...
Persistent link: https://www.econbiz.de/10011302131
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