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Marginal Likelihood for Markov-Switching and Change-Point GARCH Models
Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen V.K. - Centre Interuniversitaire sur le Risque, les Politiques … - 2011
GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility … process. Flexible alternatives are Markov-switching GARCH and change-point GARCH models. They require estimation by MCMC …
Persistent link: https://www.econbiz.de/10010615163
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A Simulation Model of Macroeconomic of Deficit
Duguay, P.; Rabeau, Y. - Département de Sciences Économiques, Université de … - 1987
In This Paper We Present a Closed Version of a Macroeconomic Simulation Model. We Use This Model to Analyse the Effect …
Persistent link: https://www.econbiz.de/10005729789
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Dynamic Optimal Portfolio Selection in a VaR Framework
Rombouts, Jeroen; Rengifo, E.W. - Institut d'Économie Appliquée, HEC Montréal (École … - 2004
in an out-of-sample context which models are preferred from a statistical and economic point of view. We find that the …
Persistent link: https://www.econbiz.de/10005489853
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Bayesian inference and model comparison for ramdom choice structures
McCAUSLAND, William; MARLEY, A. A. J. - Département de Sciences Économiques, Université de … - 2013
develop new posterior simulation methods for Bayesian inference, suitable for a class of prior distributions introduced by …
Persistent link: https://www.econbiz.de/10011186236
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Probability and Severity of Recessions
Kotchoni, Rachidi; Stevanovic, Dalibor - Centre Interuniversitaire sur le Risque, les Politiques … - 2013
models to estimate the probability of a recession h periods ahead, for h varying between 1 and 8 quarters. A novel goodness … the Probit models. Next, an autoregression (AR) augmented with inverse Mills ratio (IMR) and diffusion indices (DI) is …
Persistent link: https://www.econbiz.de/10010781889
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Scaling Models for the Severity and Frequency of External Operational Loss Data
Dahen, Hela; Dionne, Georges - Centre Interuniversitaire sur le Risque, les Politiques … - 2007
based on external data is developed to scale the frequency of losses over a given period. Two regression models are analyzed …
Persistent link: https://www.econbiz.de/10005015229
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What about Underevaluating Operational Value at Risk in the Banking Sector?
Dionne, Georges; Dahen, Hela - Centre Interuniversitaire sur le Risque, les Politiques … - 2007
The objective of this article is to develop a precise and rigorous measurement of a bank's operational VaR. We compare our model to the standard model frequently used in practice. This standard model is constructed based on lognormal and Poisson distributions which do not take into account any...
Persistent link: https://www.econbiz.de/10005015289
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Self-selection in migration and returns to unobservable skills
Dostie, Benoit; Léger, Pierre Thomas - Institut d'Économie Appliquée, HEC Montréal (École … - 2006
Several papers have tested the empirical validity of the migration models proposed by Borjas (1987) and Borjas, Bronars …
Persistent link: https://www.econbiz.de/10005677349
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Induced innovation in a decentralized model of climate change
Laurent-Lucchetti, Jérémy; Leach, Andrew - Institut d'Économie Appliquée, HEC Montréal (École … - 2006
We propose a model of climate change consistent with four principal stylized facts. First, the benefits and costs of climate change mitigation policies are not evenly distributed across generations. Second, capital accumulation is not determined jointly with emissions policy, but rather as a...
Persistent link: https://www.econbiz.de/10005677351
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Self-Selection in Migration and Returns to Skills
Dostie, Benoit; Léger, Pierre Thomas - Centre Interuniversitaire sur le Risque, les Politiques … - 2006
Several papers have tested the empirical validity of the migration models proposed by Borjas (1987) and Borjas, Bronars …
Persistent link: https://www.econbiz.de/10005696330