Search Results - subject:"Bayesian methods"

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

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

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

Estimating Overidentified, Nonrecursive Time-Varying Coefficients Structural VARs

Canova, Fabio; Forero, Fernando J. Pérez - Barcelona Graduate School of Economics (Barcelona GSE) - 2012

This paper provides a method to estimate time varying coefficients structural VARs which are non-recursive and potentially overidentified. The procedure allows for linear and non-linear restrictions on the parameters, maintains the multi-move structure of standard algorithms and can be used to...

Persistent link: https://www.econbiz.de/10011019708

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

Evaluating DSGE model forecasts of comovements

Herbst, Edward; Schorfheide, Frank - In: Journal of Econometrics 171 (2012) 2, pp. 152-166

This paper develops and applies tools to assess multivariate aspects of Bayesian Dynamic Stochastic General Equilibrium (DSGE) model forecasts and their ability to predict comovements among key macroeconomic variables. We construct posterior predictive checks to evaluate conditional and...

Persistent link: https://www.econbiz.de/10010588321

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

MUSE: Monetary Union and Slovak Economy model

Senaj, Matúš; Výškrabka, Milan; Zeman, Juraj - In: Ekonomický časopis : časopis pre ekonomickú … 60 (2012) 5, pp. 435-459

Persistent link: https://www.econbiz.de/10010189685