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Bayesian inference for latent factor copulas and application to financial risk forecasting

Schamberger, Benedikt; Gruber, Lutz F.; Czado, Claudia - In: Econometrics : open access journal 5 (2017) 2, pp. 1-23

using historical data on European financial stocks that forecasts portfolio Value at Risk (VaR) and Expected Shortfall (ES). …

Persistent link: https://www.econbiz.de/10011654443

System Priors for Econometric Time Series

Andrle, Michal - 2017

The paper introduces 'system priors', their use in Bayesian analysis of econometric time series, and provides a simple and illustrative application. System priors were devised by Andrle and Benes (2013) as a tool to incorporate prior knowledge into an economic model. Unlike priors about...

Persistent link: https://www.econbiz.de/10012966549

Structural compressed panel VAR with stochastic volatility : a robust Bayesian model averaging procedure

Pacifico, Antonio - In: Econometrics : open access journal 10 (2022) 3, pp. 1-24

This paper improves the existing literature on the shrinkage of high dimensional model and parameter spaces through Bayesian priors and Markov Chains algorithms. A hierarchical semiparametric Bayes approach is developed to overtake limits and misspecificity involved in compressed regression...

Persistent link: https://www.econbiz.de/10013459503

Modeling COVID-19 infection rates by regime-switching unobserved components models

Haimerl, Paul; Hartl, Tobias - In: Econometrics : open access journal 11 (2023) 2, pp. 1-15

The COVID-19 pandemic is characterized by a recurring sequence of peaks and troughs. This article proposes a regime-switching unobserved components (UC) approach to model the trend of COVID-19 infections as a function of this ebb and flow pattern. Estimated regime probabilities indicate the...

Persistent link: https://www.econbiz.de/10014362546

Computational complexity and parallelization in Bayesian econometric analysis

Baştürk, Nalan; Casarin, Roberto; Ravazzolo, Francesco; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-3

Persistent link: https://www.econbiz.de/10011504585

Sequentially adaptive Bayesian learning for a nonlinear model of the secular and cyclical behavior of US real GDP

Geweke, John - In: Econometrics : open access journal 4 (2016) 1, pp. 1-23

There is a one-to-one mapping between the conventional time series parameters of a third-order autoregression and the more interpretable parameters of secular half-life, cyclical half-life and cycle period. The latter parameterization is better suited to interpretation of results using both...

Persistent link: https://www.econbiz.de/10011504629

A comparison of some bayesian and classical procedures for simultaneous equation models with weak instruments

Gao, Chuanming; Lahiri, Kajal - In: Econometrics : open access journal 7 (2019) 3/33, pp. 1-28

We compare the finite sample performance of a number of Bayesian and classical procedures for limited information simultaneous equations models with weak instruments by a Monte Carlo study. We consider Bayesian approaches developed by Chao and Phillips, Geweke, Kleibergen and van Dijk, and...

Persistent link: https://www.econbiz.de/10012161526

Bayesian approach to disentangling technical and environmental productivity

Malikov, Emir; Kumbhakar, Subal; Tsionas, Efthymios G. - In: Econometrics : open access journal 3 (2015) 2, pp. 443-465

This paper models the firm's production process as a system of simultaneous technologies for desirable and undesirable outputs. Desirable outputs are produced by transforming inputs via the conventional transformation function, whereas (consistent with the material balance condition) undesirable...

Persistent link: https://www.econbiz.de/10011297619

Structural panel Bayesian VAR with multivariate time-varying volatility to jointly deal with structural changes, policy regime shifts, and endogeneity issues

Pacifico, Antonio - In: Econometrics : open access journal 9 (2021) 2, pp. 1-35

This paper improves a standard Structural Panel Bayesian Vector Autoregression model in order to jointly deal with issues of endogeneity, because of omitted factors and unobserved heterogeneity, and volatility, because of policy regime shifts and structural changes. Bayesian methods are used to...

Persistent link: https://www.econbiz.de/10012547425

Parameter estimation of the Heston volatility model with jumps in the asset prices

Gruszka, Jarosław; Szwabiński, Janusz - In: Econometrics : open access journal 11 (2023) 2, pp. 1-26

The parametric estimation of stochastic differential equations (SDEs) has been the subject of intense studies already … estimation procedure of the Heston model without and with jumps in the asset prices is presented. Bayesian regression combined … with the particle filtering method is used as the estimation framework. Within the framework, we propose a novel approach …

Persistent link: https://www.econbiz.de/10014362627