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The Econometrics of Bayesian Graphical Models : A Review With Financial Application
Ahelegbey, Daniel Felix - 2019
Recent advances in empirical finance has shown that the adoption of network theory is critical to understand contagion … review networks, however, they do not focus on the econometrics aspects. This paper presents a state-of-the-art review on the … interface between statistics and econometrics in the inference and application of Bayesian graphical models. We specifically …
Persistent link: https://www.econbiz.de/10012904250
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Bayesian Analysis of Moving Average Stochastic Volatility Models : Modelling in Mean Effects and Leverage for Financial Time Series
Dimitrakopoulos, Stefanos - 2017
leverage. For parameter estimation, we develop efficient Markov chain Monte Carlo algorithms and illustrate our methods, using …
Persistent link: https://www.econbiz.de/10012956581
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Bayesian Modeling of Time-Varying Parameters Using Regression Trees
Hauzenberger, Niko; Huber, Florian; Koop, Gary; … - 2023
In light of widespread evidence of parameter instability in macroeconomic models, many time-varying parameter (TVP) models have been proposed. This paper proposes a nonparametric TVP-VAR model using Bayesian additive regression trees (BART). The novelty of this model stems from the fact that the...
Persistent link: https://www.econbiz.de/10014263474
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Bayesian Time-Varying Autoregressive Models of COVID-19 Epidemics
Giudici, Paolo; Tarantino, Barbara; Arkaprava, Roy - 2021
The COVID-19 pandemic has highlighted the importance of reliable statistical models which, based on the available data, can provide accurate forecasts and impact analysis of alternative policy measures. Here we propose Bayesian time dependent Poisson autoregressive models, that include time...
Persistent link: https://www.econbiz.de/10013216449
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Recession propagation in small regional economies : spatial spillovers and endogenous clustering
Shibaev, Sergei S. - 2016
This paper develops a statistical model for measuring spatial interactions when estimating macroeconomic regimes and regime shifts. The model is applied to study the contagion and propagation of recessions in small regional economies in the United States from 1990 to 2015. The empirical analysis...
Persistent link: https://www.econbiz.de/10011567460
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Essays in modeling fat time series data using Bayesian econometrics
Prüser, Jan - 2018
Persistent link: https://www.econbiz.de/10012104866
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Bayesian estimation and model selection in the generalised stochastic unit root model
Yang, Fuyu; Leon-Gonzalez, Roberto - 2010
We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR …
Persistent link: https://www.econbiz.de/10003952817
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Large vector autoregressions with asymmetric priors
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015
We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors …
Persistent link: https://www.econbiz.de/10011389735
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A Bayesian analysis of the PPP puzzle using an unobserved components model
Kleijn, Richard; Dijk, Herman K. van - 2001
The failure to describe the time series behaviour of most realexchange rates as temporary deviations from fixedlong-term means may be due to time variation of the equilibriathemselves, see Engel (2000). We implement thisidea using an unobserved components model and decompose theobservations on...
Persistent link: https://www.econbiz.de/10011318578
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Time-varying combinations of Bayesian dynamic models and equity momentum strategies
Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016
momentum strategy. The estimation of this modeling and strategy approach can be done using an extended and modified version of …
Persistent link: https://www.econbiz.de/10011563065