Similar Search Results

Co-movements in commodity prices : global, sectoral and commodity-specific factors

Yin, Libo; Han, Liyan - In: Economics letters 126 (2015), pp. 96-100

Persistent link: https://www.econbiz.de/10011376427

Density prediction of stock index returns using GARCH models : frequentist or Bayesian estimation?

Hoogerheide, Lennart F.; Ardia, David; Corré, Nienke - In: Economics letters 116 (2012) 3, pp. 322-325

Persistent link: https://www.econbiz.de/10009674398

Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion

Chan, Joshua C. C. - 2014

The deviance information criterion (DIC) has been widely used for Bayesian model comparison. In particular, a popular metric for comparing stochastic volatility models is the DIC based on the conditional likelihood — obtained by conditioning on the latent variables. However, some recent...

Persistent link: https://www.econbiz.de/10013051070

Stochastic Model Specification Search for Time-Varying Parameter VARs

Eisenstat, Eric - 2014

This article develops a new econometric methodology for performing stochastic model specification search (SMSS) in the vast model space of time-varying parameter VARs with stochastic volatility and correlated state transitions. This is motivated by the concern of over-fitting and the typically...

Persistent link: https://www.econbiz.de/10013057840

Bayesian Model Comparison for Time-Varying Parameter VARs with Stochastic Volatility

Chan, Joshua C. C. - 2015

We develop importance sampling methods for computing two popular Bayesian model comparison criteria, namely, the marginal likelihood and deviance information criterion (DIC) for TVP-VARs with stochastic volatility. The proposed estimators are based on the integrated likelihood, which are...

Persistent link: https://www.econbiz.de/10013017876

Modeling Energy Price Dynamics : GARCH Versus Stochastic Volatility

Chan, Joshua C. C. - 2015

We compare a number of GARCH and stochastic volatility (SV) models using nine series of oil, petroleum product and … natural gas prices in a formal Bayesian model comparison exercise. The competing models include the standard models of GARCH(1 … innovations. We find that: (1) SV models generally compare favorably to their GARCH counterparts; (2) the jump component …

Persistent link: https://www.econbiz.de/10013021299

Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility

Chan, Joshua - 2018

Adding multivariate stochastic volatility of a flexible form to large Vector Autoregressions (VARs) involving over a hundred variables has proved challenging due to computational considerations and over-parameterization concerns. The existing literature either works with homoskedastic models or...

Persistent link: https://www.econbiz.de/10012917923

The relation between the corporate bond-yield spread and the real economy : stable or time-varying?

Karlsson, Sune; Österholm, Pär - In: Economics letters 186 (2020), pp. 1-3

Persistent link: https://www.econbiz.de/10012503617

Identification of business cycles and the Great Moderation in the post-war U.S. economy

Jiang, Yu - In: Economics letters 190 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012228144

Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility

Dimitrakopoulos, Stefanos - In: Economics letters 150 (2017), pp. 10-14

Persistent link: https://www.econbiz.de/10011761750