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Investment under Risk with Discrete and Continuous Assets

Elbers, Chris; Gunning, Jan Willem; Vigh, Melinda - Tinbergen Instituut - 2009

variables. This class contains a variety of models that are useful for modeling intertemporal household decisions under risk …

Persistent link: https://www.econbiz.de/10011256814

A Comparison of Marginal Likelihood Computation Methods

Bos, Charles S. - Tinbergen Instituut - 2002

In a Bayesian analysis, different models can be compared on the basis of theexpected or marginal likelihood they attain. Many methods have been devised to compute themarginal likelihood, but simplicity is not the strongest point of most methods. At the sametime, the precision of methods is often...

Persistent link: https://www.econbiz.de/10011255796

A Comparison of Marginal Likelihood Computation Methods

Bos, Charles S. - Tinbergen Institute - 2002

In a Bayesian analysis, different models can be compared on the basis of the expected or marginal likelihood they attain. Many methods have been devised to compute the marginal likelihood, but simplicity is not the strongest point of most methods. At the same time, the precision of methods is...

Persistent link: https://www.econbiz.de/10005136902

Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk

Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - Tinbergen Institute - 1999

the Value-at-Risk of the return of the Dow Jones stock index. <BR><BR> …

Persistent link: https://www.econbiz.de/10005137171

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

Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk

Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - Tinbergen Instituut - 1999

applied within a Bayesian analysisof a GARCH-mixture model which is used for the evaluation of theValue-at-Risk of the return …

Persistent link: https://www.econbiz.de/10011256462

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

Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling

Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Institute - 2008

An efficient and accurate approach is proposed for forecasting Value at Risk [VaR] and Expected Shortfall [ES] measures …

Persistent link: https://www.econbiz.de/10005144532

Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling

Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Instituut - 2008

(2), 231-247.<P> An efficient and accurate approach is proposed for forecasting Value at Risk [VaR] and Expected Shortfall [ES …

Persistent link: https://www.econbiz.de/10011256664

Risk, Balanced Skills and Entrepreneurship

Hsieh, Chihmao; Parker, Simon C.; Praag, C. Mirjam van - Tinbergen Instituut - 2011

This paper proposes that risk aversion encourages individuals to invest in balancedskill profiles, making them more … the impactsboth of risk aversion and balanced skills on the likelihood individuals chooseentrepreneurship. Data on Dutch … university graduates provides evidence which supportsthis contention. It thereby raises the possibility that even risk …

Persistent link: https://www.econbiz.de/10011255496

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