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Optimal Prediction Pools
Geweke, John; Amisano, Gianni - 2009
substantially outperform their best components. -- Forecasting ; GARCH ; log scoring ; Markov mixture ; model combination; S&P 500 …
Persistent link: https://www.econbiz.de/10003831826
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An alternative Bayesian approach to structural breaks in time series models
Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick van - 2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10011383033
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Macroeconomics, nonlinearities, and the business cycle
Reif, Magnus - 2019
Im Zentrum dieser Dissertation steht das Beschreiben und Erklären von Konjunkturdynamiken. Motiviert durch den außerordentlich starken wirtschaftlichen Einbruch in 2008/2009 betont die Arbeit dabei die Wichtigkeit der Nutzung von nichtlinearen Modellansätzen. Die Dissertation kann als Beitrag...
Persistent link: https://www.econbiz.de/10012154125
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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
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Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index
Billio, Monica - 2012
logistic auto-regressive processes, change over time and their dynamics are possible driven by the past forecasting … performances of the predictive densities. For illustrative purposes we apply it to combine White Noise and GARCH models to forecast …
Persistent link: https://www.econbiz.de/10013114729
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A non-linear forecast combination procedure for binary outcomes
Lahiri, Kajal; Yang, Liu - 2015
spread-to predict economic recessions in the United States. We also examine the sources of forecasting gains using a …
Persistent link: https://www.econbiz.de/10010475341
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A money-based indicator for deflation risk
Amisano, Gianni; Colavecchio, Roberta; Fagan, Gabriel - 2014
We employ a money-based early warning model in order to analyse the risk of a low inflation regime in the euro area, Japan and the US. The model specification allows for three different inflation regimes: Low, Medium and High inflation, while state transition probabilities vary over time as a...
Persistent link: https://www.econbiz.de/10010425719
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Money growth and inflation : evidence from a Markov Switching Bayesian VAR
Amisano, Gianni; Colavecchio, Roberta - 2013
We contribute to the empirical debate on the role of money in monetary policy by analysing the features of the relationship between money growth and inflation in a Bayesian Markov Switching framework for a set of four countries, the US, the UK, the Euro area and Japan, over an estimation period...
Persistent link: https://www.econbiz.de/10010425829
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An Alternative Bayesian Approach to Structural Breaks in Time Series Models
van den Hauwe, Sjoerd - 2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10013130370
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Chapter 1 Bayesian Forecasting
Geweke, John; Whiteman, Charles - 2006
Bayesian forecasting is a natural product of a Bayesian approach to inference. The Bayesian approach in general …. In Bayesian forecasting, one simply takes a subset of the unknown quantities to be future values of some variables of … interest. This chapter presents the principles of Bayesian forecasting, and describes recent advances in computational …
Persistent link: https://www.econbiz.de/10014023705