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Do farmers hedge optimally or by habit? : a Bayesian partial-adjustment model of farmer hedging
Dorfman, Jeffrey H.; Karali, Berna - In: Journal of agricultural and applied economics 42 (2010) 4, pp. 791-803
Persistent link: https://www.econbiz.de/10009375852
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Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 2001
densities) areinvestigated in relation to the hedging strategies. Consequently, we can make adistinctionbetween statistical …
Persistent link: https://www.econbiz.de/10011313921
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Markov Switching GARCH Models for Bayesian Hedging on Energy Futures Markets
Billio, Monica - 2015
A new Bayesian multi-chain Markov Switching GARCH model for dynamic hedging in energy futures markets is developed by … different hedging components. Our formulation also provides an avenue to analyze the contribution of the volatility dynamics and … framework with regime-switching models allows the definition of a robust minimum variance hedging strategy to also account for …
Persistent link: https://www.econbiz.de/10013033418
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Evolutionary sequential Monte Carlo samplers for change-point models
Dufays, Arnaud - In: Econometrics : open access journal 4 (2016) 1, pp. 1-33
Sequential Monte Carlo (SMC) methods are widely used for non-linear filtering purposes. However, the SMC scope encompasses wider applications such as estimating static model parameters so much that it is becoming a serious alternative to Markov-Chain Monte-Carlo (MCMC) methods. Not only do SMC...
Persistent link: https://www.econbiz.de/10011504888
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A flexible predictive density combination model for large financial data sets in regular and crisis periods
Casarin, Roberto; Ravazollo, Francesco; Grassi, Stefano; … - 2022
A flexible predictive density combination model is introduced for large financial data sets which allows for dynamic weight learning and model set incompleteness. Dimension reduction procedures allocate the large sets of predictive densities and combination weights to relatively small sets....
Persistent link: https://www.econbiz.de/10012816959
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A Bayesian dynamic compositional model for large density combinations in finance
Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2021
A Bayesian dynamic compositional model is introduced that can deal with combining a large set of predictive densities. It extends the mixture of experts and the smoothly mixing regression models by allowing for combination weight dependence across models and time. A compositional model with...
Persistent link: https://www.econbiz.de/10012431874
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Bayes estimates of multimodal density features using DNA and Economic Data
Basturk, Nalan; Hoogerheide, Lennart; Dijk, Herman K. van - 2021
In several scientific fields, like bioinformatics, financial and macro-economics, important theoretical and practical issues exist that involve multimodal data distributions. We propose a Bayesian approach using mixtures distributions to approximate accurately such data distributions. Shape and...
Persistent link: https://www.econbiz.de/10012431876
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A flexible predictive density combination for large financial data sets in regular and crisis periods
Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2022
A flexible predictive density combination is introduced for large financial data sets which allows for model set incompleteness. Dimension reduction procedures that include learning allocate the large sets of predictive densities and combination weights to relatively small subsets. Given the...
Persistent link: https://www.econbiz.de/10013332662
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Bayesian mode inference for discrete distributions in economics and finance
Cross, Jamie; Hoogerheide, Lennart; Labonne, Paul; … - 2023
Detecting heterogeneity within a population is crucial in many economic and financial applications. Econometrically, this requires a credible determination of multimodality in a given data distribution. We propose a straightforward yet effective technique for mode inference in discrete data...
Persistent link: https://www.econbiz.de/10014313693
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Comparing Risk Attitudes of Organic and Non-Organic Farmers with a Bayesian Random Coefficient Model
Gardebroek, Cornelis - 2013
farmers compared with that of conventional farmers has not been studied. Using a non-structural approach to risk estimation, a … of Dutch organic and non-organic arable farmers. The model is estimated using Gibbs sampling. The results indicate that … organic farmers are significantly less risk averse than their non-organic colleagues …
Persistent link: https://www.econbiz.de/10012753576