Poisson processes are used in various application fields applications (public health biology, reliability and so on). In their homogeneous version, the intensity process is a deterministic constant. In their inhomogeneous version, it depends on time. To allow for an endogenous evolution of the...

In this paper, we show how a complete and exact Bayesian analysis of a parametric mixture model is possible in some cases when components of the mixture are taken from exponential families and when conjugate priors are used. This restricted set-up allows us to show the relevance of the Bayesian...

This chapter provides a overview of Bayesian inference, mostly emphasising that it is a universal method for summarising uncertainty and making estimates and predictions using probability statements conditional on observed data and an assumed model (Gelman 2008). The Bayesian perspective is thus...

The aggregation of consistent individual judgements on logically interconnected propositions into a collective judgement on the same propositions has recently drawn much attention. Seemingly reasonable aggregation procedures, such as propositionwise majority voting, cannot ensure an equally...

The article discusses the views of statistics professors Andrew Gelman and Christian P. Robert about the intemperate anti-Bayesian statement appeared on the book of probability theory by mathematician William Feller. It notes that they explore Feller's words along with similar remarks by others...

This paper quantifies the effects on welfare of misspecified monetary policy objectives in a stylized DSGE model. We show that using inappropriate objectives generates relatively large welfare costs. When expressed in terms of ‘consumption equivalent’ units, these costs correspond to...

This paper explores the forecasting abilities of Markov-Switching models. Although MS models generally display a superior in-sample fit relative to linear models, the gain in prediction remains small. We confirm this result using simulated data for a wide range of specifications. In order to...

This paper investigates the relationship between trading volume and price volatility in the crude oil and natural gas futures markets when using high-frequency data. By regressing various realized volatility measures (with/without jumps) on trading volume and trading frequency, our results...

The estimation of the jump component in asset pricing has witnessed a considerably growing body of literature. Of particular interest is the decomposition of total volatility between its continuous and jump components. Recent contributions highlight the importance of the jump component in...

This paper studies the nonlinear adjustment between industrial production and carbon prices – coined as ‘the carbon-macroeconomy relationship’ – in the EU 27. We model carbon price returns and industrial production as nonlinear and state-dependent, with dynamics depending on the sign and...