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Near-optimal Bayesian ambiguity sets for distributionally robust optimization

Gupta, Vishal - In: Management science : journal of the Institute for … 65 (2019) 9, pp. 4242-4260

Persistent link: https://www.econbiz.de/10012118557

Robust Bayesian analysis for econometrics

Giacomini, Raffaella; Kitagawa, Toru; Read, Matthew - 2021 - This draft: 23 Aug 2021

We review the literature on robust Bayesian analysis as a tool for global sensitivity analysis and for statistical decision-making under ambiguity. We discuss the methods proposed in the literature, including the different ways of constructing the set of priors that are the key input of the...

Persistent link: https://www.econbiz.de/10012607980

Robust Bayesian analysis for econometrics

Giacomini, Raffaella; Kitagawa, Toru; Read, Matthew - 2021

Persistent link: https://www.econbiz.de/10012609647

Exact credibility reference Bayesian premiums

Gómez-Déniz, Emilio; Vázquez-Polo, Francisco José - In: Insurance / Mathematics & economics 105 (2022), pp. 128-143

Persistent link: https://www.econbiz.de/10013348977

Professor Efthymios (Mike) Tsionas' asset pricing model groundbreaking contributions

Arakelian, Veni - In: Tourism economics : the business and finance of tourism … 31 (2025) 1, pp. 24-31

Persistent link: https://www.econbiz.de/10015191921

Bayesian general equilibrium

Akira Toda, Alexis - In: Economic theory : official journal of the Society for … 58 (2015) 2, pp. 375-411

Persistent link: https://www.econbiz.de/10011376158

"Data monkeys" : a procedural model of extrapolation from partial statistics

Spiegler, Ran - In: The review of economic studies 84 (2017) 4, pp. 1818-1841

Persistent link: https://www.econbiz.de/10011920094

Bayesian inference and the principle of maximum entropy

Foley, Duncan K.; Scharfenaker, Ellis - 2024

posterior probabilities is simplified due to the concentration of the prior on the maximum entropy hypothesis. The relationship … between maximum entropy reasoning and Bayes' theorem from this point of view is that maximum entropy reasoning is a special … case of Bayesian inference with a constrained entropy-favoring prior. …

Persistent link: https://www.econbiz.de/10015070700

Bayesian Estimation of a Dynamic Asset Pricing Model with Long-Run Risk

Rooj, Debasis - 2011

In this paper, I build a Dynamic Stochastic General Equilibrium (DSGE) model and estimate it using Bayesian Markov Chain Monte Carlo (MCMC) methods. I use the results in order to examine how asset prices and macroeconomic quantities respond to the di erent shocks in the economy. Fluctuations in...

Persistent link: https://www.econbiz.de/10013121340

Uncertainty, information, and disagreement of economic forecasters

Shoja, Mehdi; Soofi, Ehsan S. - In: Econometric reviews 36 (2017) 6/9, pp. 796-817

Persistent link: https://www.econbiz.de/10011795499