Markov chain Monte Carlo (MCMC) methods have an important role in solving high dimensionality stochastic problems characterized by computational complexity. Given their critical importance, there is need for network and security risk management research to relate the MCMC quantitative...

In this paper we consider bayesian semiparametric regression within the generalized linear model framework. Specifically, we study a class of autoregressive time series where the time trend is incorporated in a nonparametrically way. Estimation and inference where performed through Markov Chain...

We extend the Black-Litterman framework beyond normality to general elliptical distributions of investor's views and asset returns and portfolio risk measured by CVaR. Unlike existing solutions, cf. Xiao and Valdez [Quant. Finan. 2015, 15:3, 509-519], the choice of distributions, with the first...

This chapter provides an overview of solution and estimation techniques for dynamic stochastic general equilibrium (DSGE) models. We cover the foundations of numerical approximation techniques as well as statistical inference and survey the latest developments in the field

This study presents a survey on the current methodologies employed in the asset allocation industry. We review techniques from Modern Portfolio Theory and focus on the central role of the mean-variance optimization problem. The formalism of the Black-Litterman model is discussed with its...

We estimate a small-scale macroeconomic model for Japan by taking into account the nonlinearity stemming from the zero lower bound (ZLB) of the nominal interest rate. To this end, we apply the Sequential Monte Carlo Squared method to the case of Japan, where the ZLB has constrained the country's...

Our goal in this chapter is to explain concretely how to implement simulation methods in a very general class of models that are extremely useful in applied work: dynamic discrete choice models where one has available a panel of multinomial choice histories and partially observed payoffs....

The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...

We estimate a small-scale nonlinear DSGE model with the zero lower bound (ZLB) of the nominal interest rate for Japan, where the ZLB has constrained the country's monetary policy for a considerably long period. We employ the time iteration with linear interpolation method to solve equilibrium...