Search Results - subject:"Bayesian Methods"

Robust Portfolio Choice with Learning in the Framework of Regret: Single-Period Case

Lim, Andrew E. B.; Shanthikumar, J. George; Vahn, Gah-Yi - In: Management Science 58 (2012) 9, pp. 1732-1746

In this paper, we formulate a single-period portfolio choice problem with parameter uncertainty in the framework of relative regret. Relative regret evaluates a portfolio by comparing its return to a family of benchmarks, where the benchmarks are the wealths of fictitious investors who invest...

Persistent link: https://www.econbiz.de/10010990462

Applications of Bayesian methods in wind energy conversion systems

Li, Gong; Shi, Jing - In: Renewable Energy 43 (2012) C, pp. 1-8

energy conversion systems. Bayesian methods have shown unique advantages in statistical modeling and data analysis for the … quantity of interest with uncertainty and variability. The adoption of Bayesian methods carries great potentials for various …-term forecasts. This paper summarizes the basic theories of several Bayesian methods, and extensively reviews the literature …

Persistent link: https://www.econbiz.de/10010806362

Improving Mantelâ€“Haenszel DIF Estimation Through Bayesian Updating

Zwick, Rebecca; Ye, Lei; Isham, Steven - In: Journal of Educational and Behavioral Statistics 37 (2012) 5, pp. 601-629

This study demonstrates how the stability of Mantelâ€“Haenszel (MH) DIF (differential item functioning) methods can be improved by integrating information across multiple test administrations using Bayesian updating (BU). The authors conducted a simulation that showed that this approach,...

Persistent link: https://www.econbiz.de/10011138702

A Bayesian approach to experimental analysis: trading in a laboratory financial market

Cipriani, Marco; Costantini, Riccardo; Guarino, Antonio - In: Review of Economic Design 16 (2012) 2, pp. 175-191

We employ a Bayesian approach to analyze financial markets experimental data. We estimate a structural model of sequential trading in which trading decisions are classified in five types: private-information based, noise, herd, contrarian and irresolute. Through Monte Carlo simulation, we...

Persistent link: https://www.econbiz.de/10010593400

The dynamics of US inflation: Can monetary policy explain the changes?

Canova, Fabio; Ferroni, Filippo - In: Journal of Econometrics 167 (2012) 1, pp. 47-60

We investigate the relationship between monetary policy and inflation dynamics in the US using a medium scale structural model. The specification is estimated with Bayesian techniques and fits the data reasonably well. Policy shocks account for a part of the decline in inflation volatility; they...

Persistent link: https://www.econbiz.de/10010574074

Forecasting government bond yields with large Bayesian vector autoregressions

Carriero, Andrea; Kapetanios, George; Marcellino, … - In: Journal of Banking & Finance 36 (2012) 7, pp. 2026-2047

We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the information contained in a large panel of yields. In particular, we use a large Bayesian Vector Autoregression (BVAR) with an optimal amount of shrinkage towards univariate AR...

Persistent link: https://www.econbiz.de/10010574827

ClubMed? Cyclical fluctuations in the Mediterranean basin

Canova, Fabio; Ciccarelli, Matteo - In: Journal of International Economics 88 (2012) 1, pp. 162-175

We investigate macroeconomic fluctuations in the Mediterranean, their similarities and convergence. A model with four indicators, roughly covering the West, the East and the Middle East and the North Africa portions of the Mediterranean, characterizes well the historical experience since the...

Persistent link: https://www.econbiz.de/10010580831

Diagnosis and prediction of rebounds in financial markets

Yan, Wanfeng; Woodard, Ryan; Sornette, Didier - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 4, pp. 1361-1380

We introduce the concept of “negative bubbles” as the mirror (but not necessarily exactly symmetric) image of standard financial bubbles, in which positive feedback mechanisms may lead to transient accelerating price falls. To model these negative bubbles, we adapt the...

Persistent link: https://www.econbiz.de/10011058729

Prior Selection for Vector Autoregressions

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E - C.E.P.R. Discussion Papers - 2012

Vector autoregressions (VARs) are flexible time series models that can capture complex dynamic interrelationships among macroeconomic variables. However, their dense parameterization leads to unstable inference and inaccurate out-of-sample forecasts, particularly for models with many variables....

Persistent link: https://www.econbiz.de/10011083403

Price differentials in monetary unions: The role of fiscal shocks

Canova, Fabio; Pappa, Evi - Department of Economics and Business, Universitat … - 2003

We study the effect of regional expenditure and revenue shocks on price differentials for 47 US states and 9 EU countries. We identify shocks using sign restrictions on the dynamics of deficits and output and construct two estimates for structural price differentials dynamics which optimally...

Persistent link: https://www.econbiz.de/10005772265