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Bayesian forecasting of US growth using basic time varying parameter models and expectations data

Basturk, Nalan; Ceyhan, Pinar; Dijk, Herman K. van - 2014

Time varying patterns in US growth are analyzed using various univariate model structures, starting from a naive model structure where all features change every period to a model where the slow variation in the conditional mean and changes in the conditional variance are specified together with...

Persistent link: https://www.econbiz.de/10010399680

Joint Bayesian analysis of parameters and states in nonlinear, non-Gaussian state space models

Barra, István; Hoogerheide, Lennart; Koopman, Siem Jan; … - 2014

We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear non-Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when these proposal densities are used in an independent...

Persistent link: https://www.econbiz.de/10010399681

Need for speed? : exchange latency and liquidity

Menkveld, Albert J.; Zoican, Marius A. - 2014

Speeding up the exchange does not necessarily improve liquidity. The price quotes of high-frequency market makers are more likely to meet speculative high-frequency "bandits", thus less likely to meet liquidity traders. The bid-ask spread is raised in response. The recursive dynamic model...

Persistent link: https://www.econbiz.de/10010384388

Spillover dynamics for systemic risk measurement using spatial financial time series models : conference paper

Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014

-specific and Europe-wide risk factors. The estimation results indicate a high, time-varying degree of spatial spillovers in the …

Persistent link: https://www.econbiz.de/10010491085

Data sparseness and variance in accounting profitability

Stavropoulos, Spyridon; Burger, Martijn J.; Skuras, … - 2015

A central question in strategic management is why some firms perform better than others. One approach to addressing … particular variance components, little attention has been paid to sample size requirements in strategic management studies that … reliability of previo us variance decomposition studies and provide implications for current debates in the strategic management …

Persistent link: https://www.econbiz.de/10010477109