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A Bayesian analysis of unobserved component models using Ox
Bos, Charles S. - 2011
Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation.In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …
Persistent link: https://www.econbiz.de/10011386121
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Idiosyncratic labour income risk and aggregate consumption : an unobserved component approach
Pozzi, Lorenzo - 2007
We investigate the importance of aggregate and consumer-specific or idiosyncratic labour income risk for aggregate consumption changes in the US over the period 1952-2001. Theoretically, the effect of labour income risk on consumption changes is decomposed into an aggregate and into an...
Persistent link: https://www.econbiz.de/10011372981
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A Bayesian analysis of the PPP puzzle using an unobserved components model
Kleijn, Richard; Dijk, Herman K. van - 2001
The failure to describe the time series behaviour of most realexchange rates as temporary deviations from fixedlong-term means may be due to time variation of the equilibriathemselves, see Engel (2000). We implement thisidea using an unobserved components model and decompose theobservations on...
Persistent link: https://www.econbiz.de/10011318578
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Time-varying combinations of Bayesian dynamic models and equity momentum strategies
Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016
momentum strategy. The estimation of this modeling and strategy approach can be done using an extended and modified version of …
Persistent link: https://www.econbiz.de/10011563065
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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
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An empirical assessment of the U.S. Phillips curve over time
Vlekke, Marente; Koopman, Siem Jan; Mellens, Martin C. - 2021
include stochastic volatility for the observation errors. Our estimation results are based on practical Bayesian state space …
Persistent link: https://www.econbiz.de/10012665848
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Likelihood functions for state space models with diffuse initial conditions
Francke, Marc K.; Koopman, Siem Jan; Vos, Aart F. de - 2008
Persistent link: https://www.econbiz.de/10003706020
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A Bayesian dynamic compositional model for large density combinations in finance
Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2021
A Bayesian dynamic compositional model is introduced that can deal with combining a large set of predictive densities. It extends the mixture of experts and the smoothly mixing regression models by allowing for combination weight dependence across models and time. A compositional model with...
Persistent link: https://www.econbiz.de/10012431874
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A Bayesian analysis of unobserved componment models using ox
Bos, Charles S. - 2011
Persistent link: https://www.econbiz.de/10008907811
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Idiosyncratic labour income risk and aggregate consumption : an unobserved component approach
Pozzi, Lorenzo - 2007
Persistent link: https://www.econbiz.de/10003609101