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Idiosyncratic Labour Income Risk and Aggregate Consumption: an Unobserved Component Approach
Pozzi, Lorenzo - Tinbergen Instituut - 2007
This discussion paper resulted in an article in the <I>Journal of Macroeconomics</I> (2010). Volume 32(1), 169-184.<P> We investigate the importance of aggregate and consumer-specific or idiosyncratic labour income risk for aggregate consumption changes in the US over the period 1952-2001. Theoretically,...</p></i>
Persistent link: https://www.econbiz.de/10011256286
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Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation?
Hoogerheide, Lennart F.; Ardia, David; Corre, Nienke - Tinbergen Instituut - 2011
frequentist and Bayesian estimation. No significant difference is found between the qualities of the forecasts of the whole … density, whereas the Bayesian approach exhibits significantly better left-tail forecast accuracy. …
Persistent link: https://www.econbiz.de/10011256766
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Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
Ardia, David; Hoogerheide, Lennart F. - Tinbergen Instituut - 2010
This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the …
Persistent link: https://www.econbiz.de/10011256998
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Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation: the R Package AdMit
Ardia, David; Hoogerheide, Lennart F.; Dijk, Herman K. van - Tinbergen Instituut - 2008
distribution. The second shows the relevance of the adaptive mixture procedure through the Bayesian estimation of a mixture of ARCH …
Persistent link: https://www.econbiz.de/10011257456
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Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
Ardia, David; Hoogerheide, Lennart F. - Tinbergen Institute - 2010
This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the …
Persistent link: https://www.econbiz.de/10008838647
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Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation
Ardia, David; Hoogerheide, Lennart F.; Dijk, Herman K. van - Tinbergen Institute - 2008
distribution. The second shows the relevance of the adaptive mixture procedure through the Bayesian estimation of a mixture of ARCH …
Persistent link: https://www.econbiz.de/10005137315
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Idiosyncratic Labour Income Risk and Aggregate Consumption: an Unobserved Component Approach
Pozzi, Lorenzo - Tinbergen Institute - 2007
We investigate the importance of aggregate and consumer-specific or idiosyncratic labour income risk for aggregate consumption changes in the US over the period 1952-2001. Theoretically, the effect of labour income risk on consumption changes is decomposed into an aggregate and into an...
Persistent link: https://www.econbiz.de/10005209435