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Full Bayesian inference for asymmetric Garch models with student-t innovations
Fonseca, Thaís C. O. da; Cerqueira, Vinícius dos Santos; … - 2016
heteroskedasticity (Garch) model with heavy tailed sampling distributions. In particular, we consider the Student-t model with unknown … estimation of model parameters in the Student-t Garch model are affected by small sample sizes, prior distributions and … the asymmetric Garch model with Student-t erros. In this context, the Student-t model is preferable for prediction in the …
Persistent link: https://www.econbiz.de/10012059451
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Heterogeneity in euro-area monetary policy transmission : results from a large multi-country BVAR model
Mandler, Martin; Scharnagl, Michael; Volz, Ute - 2016
We study cross-country differences in monetary policy transmission across the large four euro-area countries (France, Germany, Italy and Spain) using a large Bayesian vector autoregressive model with endogenous prior selection. Drawing both on the posterior distributions of the cross-country...
Persistent link: https://www.econbiz.de/10011444752
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Belief updating: does the 'good-news, bad-news' asymmetry extend to purely financial domains?
Barron, Kai - 2016
Bayes' statistical rule remains the status quo for modeling belief updating in both normative and descriptive models of behavior under uncertainty. Recent research has questioned the use of Bayes' rule in descriptive models of behavior, presenting evidence that people overweight 'good news'...
Persistent link: https://www.econbiz.de/10011542204
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Finding relevant variables in sparse Bayesian factor models : economic applications and simulation results
Kaufmann, Sylvia; Schumacher, Christian - 2012
This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly informative for the factors. To identify the irrelevant variables, we search for zero rows in the loadings matrix of the factor model. To sharply separate these irrelevant...
Persistent link: https://www.econbiz.de/10009674269
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Estimation of short dynamic panels in the presence of cross-sectional dependence and dynamic heterogeneity
Gilhooly, Robert; Weale, Martin; Wieladek, Tomasz - 2012
We propose a Bayesian approach to dynamic panel estimation in the presence of cross-sectional dependence and dynamic heterogeneity which is suitable for inference in short panels, unlike alternative estimators. Monte Carlo simulations indicate that our estimator produces less bias, and a lower...
Persistent link: https://www.econbiz.de/10009680588
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Bayesian estimation of a DSGE model with asset prices
Kliem, Martin; Uhlig, Harald - 2013
This paper presents a novel Bayesian method for estimating dynamic stochastic general equilibrium (DSGE) models subject to a constrained posterior distribution of the implied Sharpe ratio. We apply our methodology to a DSGE model with habit formation in consumption and leisure, using an estimate...
Persistent link: https://www.econbiz.de/10010192763
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US business cycle dynamics at the zero lower bound
Böhl, Gregor; Strobel, Felix - 2020
Using a nonlinear Bayesian likelihood approach that fully accounts for the lower bound on nominal interest rates, we analyze US post-crisis macroeconomic dynamics and provide reference parameter estimates. We find that despite the attention received in the literature, neither the inclusion of...
Persistent link: https://www.econbiz.de/10012406022
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Implications of Brazilian Institutional Guidelines on educational efficiency
Nascimento, Marcus G. Lavagnole; Becker, Kalinca Lea; … - 2020
This paper aims to investigate the relation between inefficiency in the Brazilian education system and municipal wealth, discussing how the actual legislation possibly influences it. To that end, we apply a stochastic frontier model which accommodates covariates in the asymmetric error component...
Persistent link: https://www.econbiz.de/10012255986
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A severity function approach to scenario selection
Mokinski, Frieder - 2017
The severity function approach (abbreviated SFA) is a method of selecting adverse scenarios from a multivariate density. It requires the scenario user (e.g. an agency that runs banking sector stress tests) to specify a "severity function", which maps candidate scenarios into a scalar severity...
Persistent link: https://www.econbiz.de/10011755965
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Testing for Granger causality in large mixed-frequency VARs
Götz, Thomas B.; Hecq, Alain W. J.; Smeekes, Stephan - 2015
We analyze Granger causality testing in a mixed-frequency VAR, where the difference in sampling frequencies of the variables is large. Given a realistic sample size, the number of high-frequency observations per low-frequency period leads to parameter proliferation problems in case we attempt to...
Persistent link: https://www.econbiz.de/10011415576