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~person:"Hansen, Lars Peter"
~person:"Koop, Gary"
~person:"McAleer, Michael"
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ECONIS (ZBW)
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81
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH
Caporin, Massimiliano
-
2009
DAMGARCH extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances. DAMGARCH models the shocks affecting the conditional variances on the basis of an underlying multivariate distribution....
Persistent link: https://www.econbiz.de/10012720446
Saved in:
82
Inducing Sparsity and Shrinkage in Time-Varying Parameter Models
Huber, Florian
-
2019
Time-varying parameter (TVP) models have the potential to be over-parameterized, particularly when the number of variables in the model is large. Global-local priors are increasingly used to induce shrinkage in such models. But the estimates produced by these priors can still have appreciable...
Persistent link: https://www.econbiz.de/10012860054
Saved in:
83
Model Uncertainty in Panel Vector Autoregressive Models
Koop, Gary
-
2014
We develop methods for Bayesian model averaging (BMA) or selection (BMS) in Panel Vector Autoregressions (PVARs). Our approach allows us to select between or average over all possible combinations of restricted PVARs where the restrictions involve interdependencies between and heterogeneities...
Persistent link: https://www.econbiz.de/10013048434
Saved in:
84
Making decisions under model misspecification
Cerreia Vioglio, Simone
;
Hansen, Lars Peter
; …
-
2020
-
This version: August 3, 2020
Persistent link: https://www.econbiz.de/10012493357
Saved in:
85
Simplicity, inference and
modeling
: keeping it sophisticatedly simple
Zellner, Arnold
(
contributor
); …
-
2001
The idea that simplicity matters in science is as old as science itself, with the much cited example of Ockham's Razor, 'entia non sunt multiplicanda praeter necessitatem': entities are not to be multiplied beyond necessity. Using a multidisciplinary perspective this monograph asks 'What is...
Persistent link: https://www.econbiz.de/10012672919
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86
Structured Ambiguity and Model Misspecification
Hansen, Lars Peter
-
2020
A decision maker is averse to not knowing a prior over a set of restricted structured models (ambiguity) and suspects that each structured model is misspecified. The decision maker evaluates intertemporal plans under all of the structured models and, to recognize possible misspecifications,...
Persistent link: https://www.econbiz.de/10012850959
Saved in:
87
Asymmetry and leverage in conditional volatility models
McAleer, Michael
-
2015
Persistent link: https://www.econbiz.de/10010507684
Saved in:
88
Robustness
Hansen, Lars Peter
-
2011
-
Course Book
modeling
, the authors develop applications to a variety of problems in dynamic macroeconomics. Technical, rigorous, and self …
Persistent link: https://www.econbiz.de/10014487785
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89
Time Varying Dimension Models
Chan, Joshua C. C.
-
2011
Time varying parameter (TVP) models have enjoyed an increasing popularity in empirical macroeconomics. However, TVP models are parameter-rich and risk over-fitting unless the dimension of the model is small. Motivated by this worry, this paper proposes several Time Varying Dimension (TVD) models...
Persistent link: https://www.econbiz.de/10013121638
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90
Hierarchical Shrinkage in Time-Varying Parameter Models
Belmonte, Miguel
-
2011
In this paper, we forecast EU-area inflation with many predictors using time-varying parameter models. The facts that time-varying parameter models are parameter-rich and the time span of our data is relatively short motivate a desire for shrinkage. In constant coefficient regression models, the...
Persistent link: https://www.econbiz.de/10013123188
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