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Portfolio Allocation for European Markets withPredictability and Parameter Uncertainty

Jondeau, Eric; Rockinger, Michael - National Centre of Competence in Research - Financial … - 2010

We implement a long-horizon static and dynamic portfolio allocation involvinga risk-free and a risky asset. This model is calibrated at a quarterly frequencyfor ten European countries. We also use maximum-likelihood estimates andBayesian estimates to account for parameter uncertainty. We nd that...

Persistent link: https://www.econbiz.de/10009487000

Bayesian Demographic Modeling and Forecasting: An Application to U.S. Mortality

Reichmuth, Wolfgang; Sarferaz, Samad - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

We present a new way to model age-specific demographic variables with the example of age-specific mortality in the U.S., building on the Lee-Carter approach and extendingit in several dimensions. We incorporate covariates and model their dynamics jointly with the latent variables underlying...

Persistent link: https://www.econbiz.de/10005860485

JBendge: An Object-Oriented System for Solving, Estimating and Selecting Nonlinear Dynamic Models

Winschel, Viktor; Krätzig, Markus - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

and we use it for the integrals arising in rational expectations and in nonlinear state space filters. The estimation step …

Persistent link: https://www.econbiz.de/10005860533

Solving, Estimating and Selecting Nonlinear Dynamic Models without the Curse of Dimensionality

Winschel, Viktor; Krätzig, Markus - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse … variances, allows for unbiased convergence diagnostics and for a simple implementation of the estimation on parallel computers …. Finally, we provide all algorithms in the open source software JBendge for the solution and estimation of a general class of …

Persistent link: https://www.econbiz.de/10005860578

Tracking Down the Business Cycle: A Dynamic Factor Model For Germany 1820-1913

Sarferaz, Samad; Uebele, Martin - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

We use a Bayesian dynamic factor model to measure Germanys pre WorldWar I economic activity. The procedure makes better use of existing time seriesdata than historical national accounting. To investigate industrializationwe propose to look at comovement between sectors. We find that...

Persistent link: https://www.econbiz.de/10005861003

The Influence of the Business Cycle on Mortality

Reichmuth, Wolfgang H.; Sarferaz, Samad - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

We analyze the impact of short-run economic fluctuations on age-specific mortality usingBayesian time series econometrics and contribute to the debate on the procyclicality ofmortality. For the first time, we examine the differing consequences of economic changesfor all individual age classes....

Persistent link: https://www.econbiz.de/10005862544

Global business cycles:convergence or decoupling?

Kose, M. Ayhan; Otrok, Christopher; Prasad, Eswar - Deutsche Bundesbank <Frankfurt, Main> / …

This paper analyzes the evolution of the degree of global cyclicalinterdependence over the period 1960-2005. We categorize the 106 countries in oursample into three groups—industrial countries, emerging markets, and other developingeconomies. Using a dynamic factor model, we then decompose...

Persistent link: https://www.econbiz.de/10005866173

Expected Money Growth, Markov Trends and theInstability of Money Demand in the Euro Area

Kaufmann, Sylvia; Kugler, Peter - Wirtschaftswissenschaftliches Zentrum <Basel> - 2007

This paper analyzes the recently documented instability of money demand in theeuro area in the framework of a Markov switching trend model. First, we consider astandard flexible price model with stable money demand, rational expectations, andan exogenous income-money ratio which follows a Markov...

Persistent link: https://www.econbiz.de/10005867935

Shifting Sentiments in Firm Investment: An Application to the Oil Industry

Mohn, Klaus; Misund, Bård - Universitetet <Stavanger> / School of Business … - 2008

Recent developments in the oil and gas industry suggest that investment behaviour is not necessarilychangeless over time. We propose a micro-econometric procedure to investigate the stability ofinvestment behaviour. Applying system GMM methods on a panel data set for 253 oil and gas...

Persistent link: https://www.econbiz.de/10009305225

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break

Trenkler, Carsten; Saikkonen, Pentti; Lütkepohl, Helmut - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift and broken linear trend is proposed. The break point is assumed to be known. The setup is a VAR process for cointegrated variables. The tests are not likelihood ratio tests but the deterministic...

Persistent link: https://www.econbiz.de/10005861271

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