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Estimation and forecasting of large realized covariance matrices and portfolio choice
Callot, Laurent; Kock, Anders Bredahl; Medeiros, Marcelo C. - 2014
In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector …
Persistent link: https://www.econbiz.de/10010433899
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DSGE models with observation-driven time-varying parameters
Angelini, Giovanni; Gorgi, Paolo - 2018
parameters are allowed to evolve over time via an observation-driven updating equation. The estimation of the resulting DSGE … improvement in forecasting performance. …
Persistent link: https://www.econbiz.de/10011813395
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Joint modelling and estimation of global and local cross-sectional dependence in large panels
Koopman, Siem Jan; Schaumburg, Julia; Wiersma, Quint - 2021
-sectional dependence, which may arise from local network structures. Model selection, filtering of the dynamic factors, and estimation are … dependence among neighboring maturities. Taking this heterogeneity into account substantially improves out-of-sample forecasting …
Persistent link: https://www.econbiz.de/10012421000
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A Bayesian infinite hidden Markov vector autoregressive model
Nibbering, Didier; Paap, Richard; Wel, Michel van der - 2016
real-time forecasting exercise shows excellent pre- dictive performance even in large dimensional VARs. …
Persistent link: https://www.econbiz.de/10011569148
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Modelling and simulation : an overview
McAleer, Michael; Chan, Felix; Oxley, Les - 2013
Persistent link: https://www.econbiz.de/10009765832
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Bayesian averaging over many dynamic model structures with evidence on the great ratios and liquidity trap risk
Strachan, Rodney W.; Dijk, Herman K. van - 2008
Persistent link: https://www.econbiz.de/10003774524
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Evidence on a real business cycle model with neutral and investment-specific technology shocks using Bayesian model averaging
Strachan, Rodney W.; Dijk, Herman K. van - 2010
Persistent link: https://www.econbiz.de/10003974036
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Bayesian averaging over many dynamic model structures with evidence on the Great Ratios and liquidity trap risk
Strachan, Rodney W.; Dijk, Herman K. van - 2008
A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...
Persistent link: https://www.econbiz.de/10011377110
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Evidence on a real business cycle model with neutral and investment-specific technology shocks using Bayesian model averaging
Strachan, Rodney W.; Dijk, Herman K. van - 2010 - Version 17 May 2010
The empirical support for a real business cycle model with two technology shocks is evaluated using a Bayesian model averaging procedure. This procedure makes use of a finite mixture of many models within the class ofvector autoregressive (VAR) processes. The linear VAR model is extendedto...
Persistent link: https://www.econbiz.de/10011380727
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Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH
Brännäs, Kurt; Gooijer, Jan G. de - 2000
variancefunctions. In a genuine out-of-sample forecasting experiment theperformance of the best fitted asMA-asQGARCH model is compared … topure asMA and no-change forecasts. This is done both in terms ofconditional mean forecasting as well as in terms of risk … forecasting. …
Persistent link: https://www.econbiz.de/10011303289