Several frequentist and Bayesian model averaging schemes, including a new one that simultaneously allows for parameter uncertainty, model uncertainty and time varying model weights, are compared in terms of forecast accuracy over a set of simulation experiments. Artificial data are generated,...

An efficient and accurate approach is proposed for forecasting Value at Risk [VaR] and Expected Shortfall [ES] measures in a Bayesian framework. This consists of a new adaptive importance sampling method for Quantile Estimation via Rapid Mixture of lt;Igt;tlt;/Igt; approximations [QERMit]. As a...

We present a new framework for the joint estimation of the default-free term structure of interest rates and corporate credit spread curves. It specifies the discount curve of a specific credit rating class as the sum of the government discount function and a discount spread function. Both...

Diffuse priors lead to pathological posterior behavior when used in Bayesian analyses of Simultaneous Equation Models (SEMs). This results from the local nonidentification of certain parameters in SEMs. When this, a priori known, feature is not captured appropriately, an a posteriori favor for...

The effect which the oil price time series has on the long run properties of Vector AutoRegressive (VAR) models for price levels and import demand is investigated. As the oil price variable is assumed to be weakly exogenous for the long run parameters, a cointegration testing procedure allowing...

We propose a natural conjugate prior for the instrumental variables regression model. The prior is a natural conjugate one since the marginal prior and posterior of the structural parameter have the same functional expressions which directly reveal the update from prior to posterior. The...

A vector autoregressive (VAR) model is specified with equation system parameters, which directly reflect the possible cointegrating nature of the analyzed time series. By using a flat/diffuse prior, we show that the marginal posteriors of the parameters of interest (multipliers of the...