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Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - 2019
application is accurate prediction of financial risk measures, where the area of interest is the left tail of the predictive … introduced to further decrease the numerical standard errors of the Value-at-Risk and Expected Shortfall estimators. The third …
Persistent link: https://www.econbiz.de/10012057160
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Bayesian estimation of agent-based models via adaptive particle Markov chain Monte Carlo
Lux, Thomas - 2020
Over the last decade, agent-based models in economics have reached a state of maturity that brought the tasks of statistical inference and goodness-of-fit of such models on the agenda of the research community. While most available papers have pursued a frequentist approach adopting either...
Persistent link: https://www.econbiz.de/10012164264
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Estimation of agent-based models using sequential Monte Carlo methods
Lux, Thomas - 2017
Estimation of agent-based models is currently an intense area of research. Recent contributions have to a large extent resorted to simulation-based methods mostly using some form of simulated method of moments estimation (SMM). There is, however, an entire branch of statistical methods that...
Persistent link: https://www.econbiz.de/10011748807
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An MCMC Approach to Classical Estimation
Chernozhukov, Victor; Hong, Han - 2003
quantile regression, nonlinear IV, GMM, and value-at-risk, models. The LTE's are computed using Markov Chain Monte Carlo …
Persistent link: https://www.econbiz.de/10014077734
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Give me strong moments and time : combining GMM and SMM to estimate long-run risk asset pricing models ; conference paper
Grammig, Joachim; Schaub, Eva-Maria - 2014
The long-run consumption risk (LRR) model is a convincing approach towards resolving prominent asset pricing puzzles … correlation of consumption and the equilibrium conditions for market return and risk-free rate, as well as the model …-implied predictability of the risk-free rate. We match analytical moments when possible and simulated moments when necessary and determine …
Persistent link: https://www.econbiz.de/10010490550
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Stochastic Volatility, Long Run Risks, and Aggregate Stock Market Fluctuations
Avdjiev, Stefan - 2013
-term real risk-free interest rate, real consumption growth, and real dividend growth. Our results indicate that, over short and …
Persistent link: https://www.econbiz.de/10013094186
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Bayesian Estimation of Long-Run Risk Models Using Sequential Monte Carlo
Fulop, Andras - 2020
estimate long-run risk models in which the conditional variance of consumption growth follows either an autoregressive (AR …
Persistent link: https://www.econbiz.de/10012837343
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Chapter 9. Solution and Estimation Methods for DSGE Models
Fernández-Villaverde, J.; Rubio-Ramírez, J.F.; … - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 527-724). 2016
This chapter provides an overview of solution and estimation techniques for dynamic stochastic general equilibrium models. We cover the foundations of numerical approximation techniques as well as statistical inference and survey the latest developments in the field.
Persistent link: https://www.econbiz.de/10014024288
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Bayesian estimation of the GARCH(1,1) model with student-t innovations
Ardia, David; Hoogerheide, Lennart F. - 2010
This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the parsimonious and effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids the tedious task of tuning a MCMC sampling...
Persistent link: https://www.econbiz.de/10011380176
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Scalable MCMC for large data problems using data subsampling and the difference estimator
Quiroz, Matias; Villani, Mattias; Kohn, Robert - 2015
We propose a generic Markov Chain Monte Carlo (MCMC) algorithm to speed up computations for datasets with many observations. A key feature of our approach is the use of the highly efficient difference estimator from the survey sampling literature to estimate the log-likelihood accurately using...
Persistent link: https://www.econbiz.de/10011300365