Search Results - subject:"bayesian analysis"

BAYESIAN ANALYSIS OF THE COMPOUND COLLECTIVE MODEL: THE NET PREMIUM PRINCIPLE WITH EXPONENTIAL POISSON AND GAMMA–GAMMA DISTRIBUTIONS

Agustín, Hernández-Bastida; J. M. Pérez–Sánchez; … - Departamento de Teoría e Historia Económica, Facultad … - 2007

This article develops a Bayesian analysis of the Compound Collective Model utilizing the Net Premium Principle …

Persistent link: https://www.econbiz.de/10005594851

LONG-TERM ORIENTATION IN FAMILY AND NON-FAMILY FIRMS: A BAYESIAN ANALYSIS

Block, Jörn Hendrich; Thams, Andreas - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

BAYESIAN ANALYSIS Jörn Hendrich Block* Andreas Thams** * Technische Universität München, Germany ** Freie Universität … B E R L I N LONG-TERM ORIENTATION IN FAMILY AND NON-FAMILY FIRMS: A BAYESIAN ANALYSIS ∗ JÖRN HENDRICH …-FAMILY FIRMS: A BAYESIAN ANALYSIS ABSTRACT A stronger long-term orientation is considered a competitive advantage of family …

Persistent link: https://www.econbiz.de/10005678047

Operational Risk; The Sting is Still in the Tail But the Poison Dependson the Dose

Jobst, Andreas - International Monetary Fund (IMF) - 2007

This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel II"). Operational risk is commonly defined as the risk of loss resulting from...

Persistent link: https://www.econbiz.de/10005768778

Robustness of the Risk-Return Relationship in the U.S. Stock Market

Lanne, Markku; Luoto, Jani - Volkswirtschaftliche Fakultät, … - 2007

In this paper, we study the risk-return relationship in monthly U.S. stock returns (1928:1— 2004:12) using GARCH-in-Mean models. In particular, we consider the robustness of the relationship with respect to the omission of the intercept term in the equation for the expected excess return...

Persistent link: https://www.econbiz.de/10005622008

(Un)naturally low? Sequential Monte Carlo tracking of the US natural interest rate

Lombardi, Marco J.; Sgherri, Silvia - European Central Bank - 2007

Following the 2000 stockmarket crash, have US interest rates been held "too low" in relation to their natural level? Most likely, yes. Using a structural neo-Keynesian model, this paper attempts a real-time evaluation of the US monetary policy stance while ensuring consistency between the...

Persistent link: https://www.econbiz.de/10005816233

Assessing the Credibility of The Convertibility Zone of The Hong Kong Dollar

Fung, Laurence; Yu, Ip-wing - Hong Kong Monetary Authority - 2007

The features under the two-sided Convertibility Zone of the Hong Kong dollar resemble in many ways the target zone exchange rate regime in the literature. Following Tronzano et al. (2000), this paper utilises a Bayesian extension of the Svensson (1991) test, which takes into account the exchange...

Persistent link: https://www.econbiz.de/10005736341

A Bayesian large deviations probabilistic interpretation and justification of empirical likelihood

Grendar, Marian; Judge, George G - Department of Agricultural and Resource Economics, … - 2007

Persistent link: https://www.econbiz.de/10008583441

Large deviations approach to Bayesian nonparametric consistency : the case of Polya urn sampling

Grendar, M.; Judge, George G.; Niven, R. K - Department of Agricultural and Resource Economics, … - 2007

Persistent link: https://www.econbiz.de/10008583443

A Bayesian large deviations probabilistic interpretation and justification of empirical likelihood

Grendar, Marian; Judge, George G - Department of Agricultural and Resource Economics, … - 2007

Persistent link: https://www.econbiz.de/10010676486

Predicting the term structure of interest rates : incorporating parameter uncertainty, model uncertainty and macroeconomic information

Pooter, Michiel de; Ravazzolo, Francesco; Dijk, Dick van - 2007 - This version: March 3, 2007

We forecast the term structure of U.S. Treasury zero-coupon bond yields by analyzing a range of models that have been used in the literature. We assess the relevance of parameter uncertainty by examining the added value of using Bayesian inference compared to frequentist estimation techniques,...

Persistent link: https://www.econbiz.de/10011372519