We consider an adaptive importance sampling approach to estimating the marginal likelihood, a quantity that is fundamental in Bayesian model comparison and Bayesian model averaging. This approach is motivated by the difficulty of obtaining an accurate estimate through existing algorithms that...

The Efficient Method of Moments (EMM) estimator popularized by Gallant and Tauchen (1996) is an indirect inference estimator based on the simulated auxiliary score evaluated at the sample estimate of the auxiliary parameters. We study an alternative estimator that uses the sample auxiliary score...

Japan’s long-lasting current account surplus as well as Germany’s temporary surplus during the 1980s are the two largest current account surpluses the world has witnessed. Remarkably, net exports were rising in both countries despite the large overall appreciation of the Japanese yen and the...

The paper proposes an e-Learning framework in entrepreneurship. The framework has three main components, for identification the business opportunities, for developing business scenarios and for risk analysis. A common database assures the components integration. The main components of this...

The modified harmonic mean is widely used for estimating the marginal likelihood. We investigate the empirical performance of two versions of this estimator: one based on the observed-data likelihood and the other on the complete-data likelihood. Through an empirical example using US and UK...

This paper generalizes the popular stochastic volatility in mean model of Koopman and Hol Uspensky (2002) to allow for time-varying parameters in the conditional mean. The estimation of this extension is nontrival since the volatility appears in both the conditional mean and the conditional...

This study analyzes the investment horizon from a behavioral point of view by examining the overall influence of different investment horizons on expected returns and risk perception in Indonesia. We used students of Master of Science, Master of Management, and Doctorate Programs at the Faculty...

The regulatory framework for assessing and risk measurement in most companies focuses primarily on proposals of the New Capital Accord (Basel II). The Basel Committee gives importance to the concept of operational risk and requires that financial institutions cover possible loses with capital....

In this paper we test whether the key metals prices of gold and platinum significantly improve inflation forecasts for the South African economy. We also test whether controlling for conditional correlations in a dynamic setup, using bivariate Bayesian-Dynamic Conditional Correlation (B-DCC)...

Risk assessment is one of the major challenges that must be addressed by each insurance company. To assess risk we need to know the value of losses as well as the probability of losses, since the risk cost is the basic component in evaluating the insurance indemnity. Statistical methods should...