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Priors, Posterior Odds and Lagrange Multiplier Statistics in Bayesian Analysis of Cointegration

Kleibergen, Frank R.; Paap, Richard - 1998

Using the standard linear model as a base, a unified theory of Bayesian Analysis of Cointegration Models is constructed. This is achieved by defining (natural conjugate priors in the linear model and using the implied priors for the cointegration model

Persistent link: https://www.econbiz.de/10014069432

A Bayesian Approach to Inference on Probabilistic Surveys

Del Negro, Marco; Casarin, Roberto; Bassetti, Federico - 2022

We propose a nonparametric Bayesian approach for conducting inference on probabilistic surveys. We use this approach to study whether U.S. Survey of Professional Forecasters density projections for output growth and inflation are consistent with the noisy rational expectations hypothesis. We...

Persistent link: https://www.econbiz.de/10014080529

Estimating Real-world Probabilities : a Forward-looking Behavioral Framework

Crisóstomo, Ricardo - 2021

estimated from option prices …

Persistent link: https://www.econbiz.de/10013250112

Characteristic Function-Based Estimation of Affine Option Pricing Models

Dillschneider, Yannick - 2019

In this paper, we derive explicit expressions for certain joint moments of stock prices and option prices within a …-neutral parameters of affine stochastic volatility models using observed individual option prices. Moreover, the moment expressions may … be used to include option price information into other existing moment-based estimation approaches …

Persistent link: https://www.econbiz.de/10012893546

Moment Approximations of Displaced Forward-LIBOR Rates with Application to Swaptions

Van Appel, Jacques - 2020

We present an algorithm to approximate moments for forward rates under a displaced lognormal forward-LIBOR model (DLFM). Since the joint distribution of rates is unknown, we use a multi-dimensional full weak order 2.0 Ito-Taylor expansion in combination with a second-order Delta method. This...

Persistent link: https://www.econbiz.de/10012835181

Standard Transform Analysis for Asset Pricing and Parameter Estimation

Dillschneider, Yannick - 2022

This paper provides tractable expressions for broad classes of standard transforms for the case of affine jump diffusions. Extending and unifying existing results, these include expressions for exponential, polynomial-log-linear, and polynomial transforms of a state vector in both conditional...

Persistent link: https://www.econbiz.de/10013288948

Stochastic Volatility : Likelihood Inference and Comparison with Arch Models

Kim, Sangjoon; Shephard, Neil G.; Chib, Siddhartha - 1998

In this paper, Markov chain Monte Carlo sampling methods are exploited to provide a unified, practical likelihood-based framework for the analysis of stochastic volatility models. A highly effective method is developed that samples all the unobserved volatilities at once using an approximating...

Persistent link: https://www.econbiz.de/10014075961

A Priori Ratemaking Using Bivariate Poisson Regression Models

Bermudez, Lluís - 2011

In automobile insurance, it is useful to achieve a priori ratemaking by resorting to generalized linear models, and here the Poisson regression model constitutes the most widely accepted basis. However, insurance companies distinguish between claims with or without bodily injuries, or claims...

Persistent link: https://www.econbiz.de/10013125128

Estimation with Flexible Probabilities : Identifying Rand Hedges, Finding Diversifiers, Enhancing Style Analysis

Flint, Emlyn James - 2019

At its core, portfolio and risk management is about gathering and processing market-related data in order to make effective investment decisions. To this end, risk and return statistics are estimated from relevant financial data and used as inputs within the investment process. It is this...

Persistent link: https://www.econbiz.de/10012893987

Decomposing differences in arithmetic means : a doubly-robust estimation approach

Kaiser, Boris - 2013

When decomposing differences in average economic outcome between two groups of individuals, it is common practice to base the analysis on logarithms if the dependent variable is nonnegative. This paper argues that this approach raises a number of undesired statistical and conceptual issues...

Persistent link: https://www.econbiz.de/10010207379