Search Results - subject:"predictive likelihood"

Forecast combination and Bayesian model averaging: A prior sensitivity analysis

Feldkircher, Martin - 2010

In this study we evaluate the forecast performance of model averaged forecasts based on the predictive likelihood … carrying out a prior sensitivity analysis regarding Zellner's g prior. The main results are fourfold: First the predictive … likelihood does always better than the traditionally employed 'marginal' likelihood in settings where the true model is not part …

Persistent link: https://www.econbiz.de/10010293322

Survey sampling: A necessary journey in the prediction world

Bjørnstad, Jan F. - 2010

problem. Predictive likelihood methods are considered in various cases, and evaluated by properties of related confidence …

Persistent link: https://www.econbiz.de/10011968378

Forecasting with Medium and Large Bayesian VARs

Koop, Gary - Rimini Centre for Economic Analysis (RCEA) - 2010

This paper is motivated by the recent interest in the use of Bayesian VARs for forecasting, even in cases where the number of dependent variables is large. In such cases, factor methods have been traditionally used but recent work using a particular prior suggests that Bayesian VAR methods can...

Persistent link: https://www.econbiz.de/10008738776

Survey sampling: A necessary journey in the prediction world

Bjørnstad, Jan F. - Statistisk Sentralbyrå, Government of Norway - 2010

problem. Predictive likelihood methods are considered in various cases, and evaluated by properties of related confidence …

Persistent link: https://www.econbiz.de/10008472745

It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model

Grassi, Stefano; Santucci de Magistris, Paolo - In: Journal of Empirical Finance 30 (2015) C, pp. 62-78

The persistent nature of equity volatility is investigated by means of a multi-factor stochastic volatility model with time varying parameters. The parameters are estimated by means of a sequential matching procedure which adopts as an auxiliary model a time-varying generalization of the HAR...

Persistent link: https://www.econbiz.de/10011208487

It's all about volatility of volatility : evidence from a two-factor stochastic volatility model

Grassi, Stefano; Santucci de Magistris, Paolo - In: Journal of empirical finance 30 (2015), pp. 62-78

Persistent link: https://www.econbiz.de/10011489216

Comparing and evaluating Bayesian predictive distributions of assets returns

Geweke, John; Amisano, Gianni - European Central Bank - 2008

Bayesian inference in a time series model provides exact, out-of-sample predictive distributions that fully and coherently incorporate parameter uncertainty. This study compares and evaluates Bayesian predictive distributions from alternative models, using as an illustration five alternative...

Persistent link: https://www.econbiz.de/10005530935

Comparing and evaluating Bayesian predictive distributions of assets returns

Geweke, John; Amisano, Gianni - 2008

Persistent link: https://www.econbiz.de/10011605015

Forecasting with dimension switching VARs

Koop, Gary - In: International Journal of Forecasting 30 (2014) 2, pp. 280-290

This paper develops methods for VAR forecasting when the researcher is uncertain about which variables enter the VAR, and the dimension of the VAR may be changing over time. It considers the case where there are N variables which might potentially enter a VAR and the researcher is interested...

Persistent link: https://www.econbiz.de/10011051433

Forecasting with dimension switching VARs

Koop, Gary - In: International journal of forecasting 30 (2014) 2, pp. 280-290

Persistent link: https://www.econbiz.de/10010510910