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An Alternative Bayesian Approach to Structural Breaks in Time Series Models

Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick J.C. van - Tinbergen Institute - 2011

We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...

Persistent link: https://www.econbiz.de/10008838634

An Alternative Bayesian Approach to Structural Breaks in Time Series Models

Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick J.C. van - Tinbergen Instituut - 2011

Persistent link: https://www.econbiz.de/10011257521

Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean

Blasques, Francisco - Tinbergen Instituut - 2012

This paper proposes a new set of transformed polynomial functions that provide a flexible setting for nonlinear autoregressive modeling of the conditional mean while at the same time ensuring the strict stationarity, ergodicity, fading memory and existence of moments of the implied stochastic...

Persistent link: https://www.econbiz.de/10011257412

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

Model-based Measurement of Actual Volatility in High-Frequency Data

Jungbacker, B.; Koopman, S.J. - Tinbergen Instituut - 2005

In this paper we aim to measure actual volatility within a model-based framework using high-frequency data. In the empirical finance literature it is known that tick-by-tick prices are subject to market micro-structure such as bid-ask bounces and trade information. Such market micro-structure...

Persistent link: https://www.econbiz.de/10011255617

Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails

Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Instituut - 2008

This discussion paper led to a publication in the 'Journal of Econometrics', 2011, 163, 215-230.<P> We propose new scoring rules based on partial likelihood for assessing the relative out-of-sample predictive accuracy of competing density forecasts over a specific region of interest, such as the...</p>

Persistent link: https://www.econbiz.de/10011255794

Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models

Banachewicz, Konrad; Lucas, André - Tinbergen Instituut - 2007

Recent models for credit risk management make use of Hidden Markov Models (HMMs). The HMMs are used to forecast quantiles of corporate default rates. Little research has been done on the quality of such forecasts if the underlying HMM is potentially mis-specified. In this paper, we focus on...

Persistent link: https://www.econbiz.de/10011255911

Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements

Koopman, Siem Jan; Jungbacker, Borus; Hol, Eugenie - Tinbergen Instituut - 2004

for volatility forecasting. In this paper we explore the forecasting value of historical volatility (extracted from daily … explanatory variables for volatility. The main focus is on forecasting the daily variability of the Standard & Poor's 100 stock …

Persistent link: https://www.econbiz.de/10011256228

Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?

McAleer, Michael; Jimenez-Martin, Juan-Angel; … - Tinbergen Institute

practices, forecasting VaR and daily capital charges, and discuss alternative policy recommendations, especially in light of the …

Persistent link: https://www.econbiz.de/10005016261

An Hourly Periodic State Space Model for Modelling French National Electricity Load

Dordonnat, V.; Koopman, S.J.; Ooms, M.; Dessertaine, A.; … - Tinbergen Institute - 2008

We present a model for hourly electricity load forecasting based on stochastically time-varying processes that are … national French hourly electricity load. The analysis focuses on two hours, 9 AM and 12 AM, but forecasting results are … implementation of our forecasting procedure relies on the multivariate linear Gaussian state space framework and is applied to …

Persistent link: https://www.econbiz.de/10005144435

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