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Geweke, John; Amisano, Gianni - 2009

A prediction model is any statement of a probability distribution for an outcome not yet observed. This study considers the properties of weighted linear combinations of n prediction models, or linear pools, evaluated using the conventional log predictive scoring rule. The log score is a concave...

Persistent link: https://www.econbiz.de/10003831826

Comparing and evaluating Bayesian predictive distributions of assets returns

Geweke, John; Amisano, Gianni - 2008

Bayesian inference in a time series model provides exact, out-of-sample predictive distributions that fully and coherently incorporate parameter uncertainty. This study compares and evaluates Bayesian predictive distributions from alternative models, using as an illustration five alternative...

Persistent link: https://www.econbiz.de/10003825870

Money growth and inflation: a regime switching approach

Amisano, Gianni; Fagan, Gabriel - 2010

We develop a time-varying transition probabilities Markov Switching model in which inflation is characterised by two regimes (high and low inflation). Using Bayesian techniques, we apply the model to the euro area, Germany, the US, the UK and Canada for data from the 1960s up to the present. Our...

Persistent link: https://www.econbiz.de/10003973538

Analysis of variance for bayesian inference

Geweke, John; Amisano, Gianni - 2011

practical simulation algorithm to estimate the corresponding components of variance. It specifically addresses variance in … produce simulation-consistent estimates of all of these components, and the method demands little additional effort or … ; Bayesian inference ; predictive distributions ; posterior simulation …

Persistent link: https://www.econbiz.de/10009405593

Uncertainty shocks, monetary policy and long-term interest rates

Amisano, Gianni; Tristani, Oreste - 2019

We study the relationship between monetary policy and long-term rates in a structural, general equilibrium model estimated on both macro and yields data from the United States. Regime shifts in the conditional variance of productivity shocks, or "uncertainty shocks", are an important model...

Persistent link: https://www.econbiz.de/10012009116