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Forecasting US Inflation Using Bayesian Nonparametric Models
Clark, Todd E.; Huber, Florian; Koop, Gary; Marcellino, … - 2022
The relationship between inflation and predictors such as unemployment is potentially nonlinear with a strength that varies over time, and prediction errors error may be subject to large, asymmetric shocks. Inspired by these concerns, we develop a model for inflation forecasting that is...
Persistent link: https://www.econbiz.de/10013298371
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Dissecting characteristics nonparametrically
Freyberger, Joachim; Neuhierl, Andreas; Weber, Michael - 2017 - This version: February 2017
We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...
Persistent link: https://www.econbiz.de/10011619632
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Bayesian inference in a stochastic volatility Nelson-Siegel Model
Hautsch, Nikolaus; Yang, Fuyu - 2010
capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in … evidence for time-varying volatility in the yield factors. This is mostly true for the level and slope volatility revealing … also the highest persistence. It turns out that the inclusion of stochastic volatility improves the model's goodness …
Persistent link: https://www.econbiz.de/10003952795
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US interest rates : are relations stable?
Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024
estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury … corporate bond-yield spread decreases the risk free rate. Finally, we note that while allowing for heavy tails receives a fair …
Persistent link: https://www.econbiz.de/10014490330
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The factor-spline-GARCH model for high and low frequency correlations
Rangel, Jose Gonzalo; Engle, Robert F. - 2009
frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …
Persistent link: https://www.econbiz.de/10003821063
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Asymmetric spillover and quantile linkage between the United States and ASEAN+6 stock returns under uncertainty
Surachai Chancharat; Nongnit Chancharat - In: Journal of open innovation : technology, market, and … 10 (2024) 3, pp. 1-13
This study examines the spillover and connectedness network among the United States and the Association of Southeast Asian Nations (ASEAN)+6 stock market returns during times of uncertainty in the world economy, such as the COVID-19 pandemic and the conflict between Russia and Ukraine. The...
Persistent link: https://www.econbiz.de/10015071478
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The role of sectoral shifts in the great moderation
Burren, Daniel - 2008
In this paper, I study the drop of real GDP volatility which has been observed in the United States during the postwar … moderation ; Sectoral Shifts ; Stochastic Volatility ; Wishart Autoregressive Process ; Particle Filter ; ARCH-GARCH ; Bayesian …
Persistent link: https://www.econbiz.de/10003923367
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Simultaneously modelling conditional heteroskedasticity and scale change
Feng, Yuanhua - 2002
Persistent link: https://www.econbiz.de/10001686434
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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.S., building on the Lee-Carter approach and extending it in several dimensions. We incorporate covariates and model their dynamics jointly with the latent variables underlying...
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 United States, building on the LeeCarter approach and extending it in several dimensions. We incorporate covariates and model their dynamics jointly with the latent variables...
Persistent link: https://www.econbiz.de/10003770768