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Highly non-elliptical posterior distributions may occur in several econometric models, in particular, when the likelihood information is allowed to dominate and data information is weak. We explain the issue of highly non-elliptical posteriors in a model for the effect of education on income...
Persistent link: https://www.econbiz.de/10011374406
An efficient and accurate approach is proposed for forecasting Value at Risk [VaR] and Expected Shortfall [ES] measures in a Bayesian framework. This consists of a new adaptive importance sampling method for Quantile Estimation via Rapid Mixture of t approximations [QERMit]. As a first step the...
Persistent link: https://www.econbiz.de/10011377096
This discussion paper led to a publication in 'Computational Statistics & Data Analysis' 56(11), pp. 3398-1414.Important choices for efficient and accurate evaluation of marginal likelihoods by means of Monte Carlo simulation methods are studied for the case of highly non-elliptical posterior...
Persistent link: https://www.econbiz.de/10011377602
Several Bayesian model combination schemes, including some novel approaches that simultaneously allow for parameter uncertainty, model uncertainty and robust time varying model weights, are compared in terms of forecast accuracy and economic gains using financial and macroeconomic time series....
Persistent link: https://www.econbiz.de/10011378346
Strategic choices for efficient and accurate evaluation of marginal likelihoods by means of Monte Carlo simulation methods are studied for the case of highly non-elliptical posterior distributions. A comparative analysis is presented of possible advantages and limitations of different simulation...
Persistent link: https://www.econbiz.de/10011380802
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We investigate the direct connection between the uncertainty related to estimated stable ratios of stock prices and risk and return of two pairs trading strategies: a conditional statistical arbitrage method and an implicit arbitrage one. A simulation-based Bayesian procedure is introduced for...
Persistent link: https://www.econbiz.de/10011505854