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Cohort Effects in Mortality Modelling : A Bayesian State-Space Approach
Fung, Simon Man Chung - 2019
Cohort effects are important factors in determining the evolution of human mortality for certain countries. Extensions … of dynamic mortality models with cohort features have been proposed in the literature to account for these factors under … the generalised linear modelling framework. In this paper we approach the problem of mortality modelling with cohort …
Persistent link: https://www.econbiz.de/10012902374
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Cohort Effects in Mortality Modelling : A Bayesian State-Space Approach
Fung, Simon Man Chung - 2019
Cohort effects are important factors in determining the evolution of human mortality for certain countries. Extensions … of dynamic mortality models with cohort features have been proposed in the literature to account for these factors under … the generalised linear modelling framework. In this paper we approach the problem of mortality modelling with cohort …
Persistent link: https://www.econbiz.de/10012899554
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Bayesian demographic modeling and forecasting : an application to U.S. mortality
Reichmuth, Wolfgang H. (contributor);  … - 2008
We present a new way to model age-specific demographic variables with the example of age-specific mortality in the U … jointly with the latent variables underlying mortality of all age classes. In contrast to previous models, a similar … forecasts for particular age classes. A structural analysis of the relationship between age-specific mortality and covariates is …
Persistent link: https://www.econbiz.de/10003770767
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Modeling and forecasting age-specific mortality : a Bayesian approach
Reichmuth, Wolfgang H. (contributor);  … - 2008
We present a new way to model age-specific demographic variables, using the example of age-specific mortality in the … their dynamics jointly with the latent variables underlying mortality of all age classes. In contrast to previous models, a … for particular age classes. A structural analysis of the relationship between age-specific mortality and covariates is …
Persistent link: https://www.econbiz.de/10003770768
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Bayesian Hierarchical Multi-Population Mortality Modelling for China’s Provinces
Lu, Qian; Hanewald, Katja; Wang, Xiaojun - 2019
China has experienced large improvements in mortality rates, but there remain substantial variations at the provincial … level. This paper develops new models to project mortality at both the national and provincial levels in China. We propose … comprehensive database containing mortality data for 31 provinces over the period 1982–2010. The baseline two-level model with a …
Persistent link: https://www.econbiz.de/10014103019
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Financial Risk Management with Bayesian Estimation of GARCH Models : Theory and Applications
Ardia, David - 2009
This book presents in detail methodologies for the Bayesian estimation of single-regime and regime-switching GARCH models. These models are widespread and essential tools in financial econometrics and have, until recently, mainly been estimated using the classical Maximum Likelihood technique....
Persistent link: https://www.econbiz.de/10013156202
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Deep Bayesian Estimation of the Rough Path-Dependent Volatility Model for Forecasting Purposes
Parent, Léo - 2023
The rough path-dependent volatility (RPDV) model (Parent 2022) effectively captures key empirical features that are characteristic of volatility dynamics, making it a suitable choice for volatility forecasting. However, its complex structure presents challenges when it comes to estimating the...
Persistent link: https://www.econbiz.de/10014354222
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State correlation and forecasting : a Bayesian approach using unobserved components models
Uzeda, Luis - 2018
Implications for signal extraction from specifying unobserved components (UC) models with correlated or orthogonal innovations have been well investigated. In contrast, the forecasting implications of specifying UC models with different state correlation structures are less well understood. This...
Persistent link: https://www.econbiz.de/10011809478
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Large vector autoregressions with asymmetric priors
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015
We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...
Persistent link: https://www.econbiz.de/10011389735
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Forecasting inflation in Argentina
Garegnani, Lorena; Gómez Aguirre, Maximiliano - 2018
In 2016 the Central Bank of Argentina began to announce inflation targets. In this context, providing authorities with good estimates of relevant macroeconomic variables is crucial for making pertinent corrections in order to reach the desired policy goals. This paper develops a group of models...
Persistent link: https://www.econbiz.de/10011882797