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Dynamic predictive density combinations for large data sets in economics and finance

Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2015

A Bayesian nonparametric predictive model is introduced to construct time-varying weighted combinations of a large set of predictive densities. A clustering mechanism allocates these densities into a smaller number of mutually exclusive subsets. Using properties of Aitchinson's geometry of the...

Persistent link: https://www.econbiz.de/10011295701

State correlation and forecasting : a Bayesian approach using unobserved components models

Uzeda, Luis - 2018

Implications for signal extraction from specifying unobserved components (UC) models with correlated or orthogonal innovations have been well investigated. In contrast, the forecasting implications of specifying UC models with different state correlation structures are less well understood. This...

Persistent link: https://www.econbiz.de/10011809478

A Bayesian dynamic compositional model for large density combinations in finance

Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2021

A Bayesian dynamic compositional model is introduced that can deal with combining a large set of predictive densities. It extends the mixture of experts and the smoothly mixing regression models by allowing for combination weight dependence across models and time. A compositional model with...

Persistent link: https://www.econbiz.de/10012431874

A mortality model for multi-populations : a semi-parametric approach

Fang, Lei; Härdle, Wolfgang; Park, Juhyun - 2016

Mortality is different across countries, states and regions. Several empirical research works however reveal that … mortality trends exhibit a common pattern and show similar structures across populations. The key element in analyzing mortality … the empirical findings, we make the study of estimating and forecasting mortality rates based on a semi …

Persistent link: https://www.econbiz.de/10011489251

State-Observation Sampling and the Econometrics of Learning Models

Calvet, Laurent E. - 2013

In nonlinear state-space models, sequential learning about the hidden state can proceed by particle filtering when the density of the observation conditional on the state is available analytically (e.g. Gordon et al. 1993). This condition need not hold in complex environments, such as the...

Persistent link: https://www.econbiz.de/10013093423

Financial Risk Management with Bayesian Estimation of GARCH Models : Theory and Applications

Ardia, David - 2009

This book presents in detail methodologies for the Bayesian estimation of single-regime and regime-switching GARCH models. These models are widespread and essential tools in financial econometrics and have, until recently, mainly been estimated using the classical Maximum Likelihood technique....

Persistent link: https://www.econbiz.de/10013156202

The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk

Dobrev, Dobrislav - 2011

We demonstrate that the parameters controlling skewness and kurtosis in popular equity return models estimated at daily frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information content of realized volatility measures extracted...

Persistent link: https://www.econbiz.de/10013128339

Forecasting with Many Predictors Using Message Passing Algorithms

Korobilis, Dimitris - 2017

Machine learning methods are becoming increasingly popular in economics, due to the increased availability of large datasets. In this paper I evaluate a recently proposed algorithm called Generalized Approximate Message Passing (GAMP), which has been popular in signal processing and compressive...

Persistent link: https://www.econbiz.de/10012955264

Mortality forecasting using a Lexis-based state-space model

Andersson, Patrik; Lindholm, Mathias - In: Annals of actuarial science : publ. by the Institute of … 15 (2021) 3, pp. 519-548

Persistent link: https://www.econbiz.de/10012656701

A unified approach to mortality modelling using state-space framework : characterisation, identification, estimation and forecasting

Fung, Man Chung; Peters, Gareth; Shevchenko, Pavel V. - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 2, pp. 343-389

Persistent link: https://www.econbiz.de/10011820669