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International Transmission and Forecasting of Macroeconomic Uncertainty in Small Open Economies : Empirical Results from Large Panel of flexible Bayesian VARs
Abubakar, Jamaladeen - 2020
Increasing interconnectedness of global economies has consistently generated a lot of interests among empirical macro-economists in their quest to properly understand the channels of international spillover and macroeconomic shocks and how such crises when they arise, are managed by Small Open...
Persistent link: https://www.econbiz.de/10012825379
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A parsimonious approach to stochastic mortality modelling with dependent residuals
Mavros, George; Cairns, Andrew; Kleinow, Torsten; … - 2014
Persistent link: https://www.econbiz.de/10010362818
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Market Price of Longevity Risk for a Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing
Sherris, Michael - 2018
affine dynamic Nelson-Siegel model. A multi-cohort aggregate, or systematic, continuous time affine mortality model is used … where each risk factor is assigned a market price of mortality risk. To calibrate the market price of longevity risk, a … standard options on zero coupon bonds. The impact of uncertain mortality on long term option prices is quantified and discussed …
Persistent link: https://www.econbiz.de/10012927869
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Portfolio allocation for European markets with predictability and parameter uncertainty
Jondeau, Eric; Rockinger, Michael - 2010
We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...
Persistent link: https://www.econbiz.de/10008797745
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Quantifying time-varying forecast uncertainty and risk for the real price of oil
Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021
We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil using a combination of probabilistic individual model forecasts. Our combination method extends earlier approaches that have been applied to oil price forecasting, by allowing...
Persistent link: https://www.econbiz.de/10012544443
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News-driven uncertainty fluctuations
Song, Dongho; Tang, Jenny - 2018 - This version: January 2018
We embed a news shock, a noisy indicator of the future state, in a two-state Markovswitching growth model. Our framework, combined with parameter learning, features rich history-dependent uncertainty dynamics. We show that bad news that arrives during a prolonged economic boom can trigger a...
Persistent link: https://www.econbiz.de/10011894302
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Accounting for Uncertainty : An Application of Bayesian Methods to Accruals Models
Breuer, Matthias - 2020
We provide an applied introduction to Bayesian estimation methods for empirical accounting research. To showcase the methods, we compare and contrast the estimation of accruals models via a Bayesian approach with the literature's standard approach. The standard approach takes a given model of...
Persistent link: https://www.econbiz.de/10012848657
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Measuring Longevity Risk Through a Neural Network Lee-Carter Model
Marino, Mario - 2020
One of the main challenges for life actuaries is modeling and predicting the future mortality evolution. To this end …, several stochastic mortality models have been proposed in literature, starting from the pivotal approach of the Lee …-Carter model. These models essentially use the ARIMA processes to forecast the future mortality trends. Recently, some research …
Persistent link: https://www.econbiz.de/10012834239
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Tracking global economic uncertainty : implications for the euro area
Bobasu, Alina; Geis, André; Quaglietti, Lucia; Ricci, … - 2021
This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for fifteen key euro area trade partners and the euro...
Persistent link: https://www.econbiz.de/10012503567
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Macroeconomic uncertainty and forecasting macroeconomic aggregates
Reif, Magnus - 2018
Can information on macroeconomic uncertainty improve the forecast accuracy for key macroeconomic time series for the US? Since previous studies have demonstrated that the link between the real economy and uncertainty is subject to nonlinearities, I assess the predictive power of macroeconomic...
Persistent link: https://www.econbiz.de/10011918367