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Total Factor Productivity and the Mongolian Transition
Chessa, Antonio G.; Schouwstra, Marije C. - Tinbergen Institute - 2005
Total Factor Productivity (TFP)is often used on the macro-economic level as an indicator of changes in efficiency of a … increasing and become positive after a (quite a) few years of transition. Many authors conclude that this is a gain in efficiency … increases in efficiency. To investigate this, the mathematical properties of TFP are analysed in order to generate new insights …
Persistent link: https://www.econbiz.de/10005137124
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Total Factor Productivity and the Mongolian Transition
Chessa, Antonio G.; Schouwstra, Marije C. - Tinbergen Instituut - 2005
Total Factor Productivity (TFP)is often used on the macro-economic level as an indicator of changes in efficiency of a … increasing and become positive after a (quite a) few years of transition. Many authors conclude that this is a gain in efficiency … increases in efficiency. To investigate this, the mathematical properties of TFP are analysed in order to generate new insights …
Persistent link: https://www.econbiz.de/10011256958
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Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Instituut - 2014
We investigate the direct connection between the uncertainty related to estimated stable ratios of stock prices and risk and return of two pairs trading strategies: a conditional statistical arbitrage method and an implicit arbitrage one. A simulation-based Bayesian procedure is introduced for...
Persistent link: https://www.econbiz.de/10011272592
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Counting with Combined Splitting and Capture-Recapture Methods
Dupuis, Paul; Kaynar, Bahar; Ridder, Ad; Rubinstein, Reuven - Tinbergen Instituut - 2011
This discussion paper resulted in a publication in <Stochastic Models</I> (2012). Volume 28(3), pages 478-502.<P> We apply the splitting method to three well-known counting problems, namely 3-SAT, random graphs with prescribed degrees, and binary contingency tables. We present an enhanced version of the splitting method...</p></stochastic>
Persistent link: https://www.econbiz.de/10011255459
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Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation
Gatarek, Lukasz; Hoogerheide, Lennart; Hooning, Koen; … - Tinbergen Instituut - 2013
Accurate prediction of risk measures such as Value at Risk (VaR) and Expected Shortfall (ES) requires precise estimation of the tail of the predictive distribution. Two novel concepts are introduced that offer a specific focus on this part of the predictive density: the censored posterior, a...
Persistent link: https://www.econbiz.de/10011255481
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Efficient Bayesian Estimation and Combination of GARCH-Type Models
Ardia, David; Hoogerheide, Lennart F. - Tinbergen Instituut - 2010
This discussion paper resulted in a chapter in: (K. Bocker (Ed.)) 'Rethinking Risk Measurement and Reporting - Volume II: Examples and Applications from Finance', 2010, London: Riskbooks.<P> This paper proposes an up-to-date review of estimation strategies available for the Bayesian inference of...</p>
Persistent link: https://www.econbiz.de/10011255484
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Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models
Koopman, Siem Jan; Lucas, Andre; Scharth, Marcel - Tinbergen Instituut - 2011
methods. An elaborate simulation study and an empirical application for U.S. stock returns reveal large efficiency gains for a …
Persistent link: https://www.econbiz.de/10011255569
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On Importance Sampling for State Space Models
Jungbacker, Borus; Koopman, Siem Jan - Tinbergen Instituut - 2005
We consider likelihood inference and state estimation by means of importance sampling for state space models with a nonlinear non-Gaussian observation y ~ p(y|alpha) and a linear Gaussian state alpha ~ p(alpha). The importance density is chosen to be the Laplace approximation of the smoothing...
Persistent link: https://www.econbiz.de/10011255603
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Divergent Priors and well Behaved Bayes Factors
Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Instituut - 2011
Divergent priors are improper when defined on unbounded supports. Bartlett's paradox has been taken to imply that using improper priors results in ill-defined Bayes factors, preventing model comparison by posterior probabilities. However many improper priors have attractive properties that...
Persistent link: https://www.econbiz.de/10011255610
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Detecting Serial Dependence in Tail Events
Diks, Cees - Tinbergen Instituut - 2002
A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...
Persistent link: https://www.econbiz.de/10011255612