Narrow search
Showing 1 - 10 of 142
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Belief updating : does the "good-news, bad-news" asymmetry extend to purely financial domains?
Barron, Kai - 2019
Bayes' statistical rule remains the status quo formodeling belief updating in both normative and descriptive models of behavior under uncertainty. Some 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/10012064638
Cover Image
Partial pooling with cross-country priors : an application to house price shocks
Roth, Markus - 2020
A structural Bayesian vector autoregression model predicts that - when accompanied by a decline in consumer confidence - a one-percent decrease in house prices is associated with a contraction of economic activity by 0.2 to 1.2 percent after one year. Results point to important second-round...
Persistent link: https://www.econbiz.de/10012173539
Cover Image
Belief updating: does the "good-news, bad-news" asymmetry extend to purely financial domains?
Barron, Kai - 2020 - 2nd revision March 2020
Bayes' statistical rule remains the status quo for modeling belief updating in both normative and descriptive models of behavior under uncertainty. Some 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/10012178991
Cover Image
On a quest for robustness : about model risk, randomness and discretion in credit risk stress tests
Siemsen, Thomas; Vilsmeier, Johannes - 2018
In this paper we study the impact of model uncertainty, which occurs when linking a stress scenario to default probabilities, on reduced-form credit risk stress testing. This type of uncertainty is omnipresent in most macroeconomic stress testing applications due to short time series for banks'...
Persistent link: https://www.econbiz.de/10011897976
Cover Image
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
Cover Image
Belief updating: does the 'good-news, bad-news' asymmetry extend to purely financial domains?
Barron, Kai - 2019 - Revised July 2019
Bayes' statistical rule remains the status quo for modeling belief updating in both normative and descriptive models of behavior under uncertainty. Some 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/10012029067
Cover Image
A stress test framework for the German residential mortgage market : methodology and application
Siemsen, Thomas; Vilsmeier, Johannes - 2017
This paper exploits a recent and granular data set for 1,500 German LSIs to conduct a residential mortgage stress testing exercise. To account for model uncertainty when modeling PD dynamics we use a benchmark-constrained Bayesian model averaging approach that combines standard BMA with a...
Persistent link: https://www.econbiz.de/10011764865