Showing 1 - 10 of 10
This note compares a Bayesian Markov chain Monte Carlo approach implemented by Watanabe with a maximum likelihood ML approach based on an efficient importance sampling procedure to estimate dynamic bivariate mixture models. In these models, stock price volatility and trading volume are jointly...
Persistent link: https://www.econbiz.de/10005238257
This article addresses the issues associated with the construction of posterior probabilities for violation of the independence axiom of expected utility from nonexperimental data. To illustrate the methodology of analyzing nonexperimental evidence, the authors consider seat-belt-usage-data....
Persistent link: https://www.econbiz.de/10005430034
Persistent link: https://www.econbiz.de/10005430135
Persistent link: https://www.econbiz.de/10009358103
Persistent link: https://www.econbiz.de/10005532468
To forecast an aggregate, we propose adding disaggregate variables, instead of combining forecasts of those disaggregates or forecasting by a univariate aggregate model. New analytical results show the effects of changing coefficients, misspecification, estimation uncertainty, and mismeasurement...
Persistent link: https://www.econbiz.de/10010825858
Persistent link: https://www.econbiz.de/10005238417
We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....
Persistent link: https://www.econbiz.de/10010606689
We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....
Persistent link: https://www.econbiz.de/10010755603
Persistent link: https://www.econbiz.de/10005532246