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A Bayesian Theory of Games : An Analysis of Strategic Interactions with Statistical Decision Theoretic Foundation

Teng, Jimmy - 2012

) and keep updating with statistical decision theoretic and game theoretic reasoning until a convergence of conjectures is … set of games than current Nash Equilibrium based games theory, including games with inaccurate observations, games with … games analyzed by the current games theory, it generates far lesser equilibriums and normally generates only a unique …

Persistent link: https://www.econbiz.de/10014172228

The power of the “objective” Bayesian unit-root test

Ahking, Francis W. - In: The open economics journal 2 (2009), pp. 71-79

Some researchers, for example, Koop [1], and Sims [2], have advocated for Bayesian alternatives to unit-root testing over the classical approach using the augmented Dickey-Fuller test (ADF). This paper studies the power of what Koop [1] has called the Objectiveʺ Bayesian approach to unit-root...

Persistent link: https://www.econbiz.de/10009541116

Variable selection and functional form uncertainty in cross-country growth regressions

Salimans, Tim - 2011

suggested by new growth theory, while addressing the variable selection problem by means of Bayesian model averaging …. Controlling for variable selection uncertainty, we confirm the evidence in favor of new growth theory presented in several earlier …

Persistent link: https://www.econbiz.de/10011382708

Empirical methods for the law

Engel, Christoph - 2017

problem, requires a decision. If uncertainty cannot be completely removed, the legal decision-maker must weigh the risk of …

Persistent link: https://www.econbiz.de/10011645949

Analysis of variance for bayesian inference

Geweke, John; Amisano, Gianni - 2011

This paper develops a multi-way analysis of variance for non-Gaussian multivariate distributions and provides a practical simulation algorithm to estimate the corresponding components of variance. It specifically addresses variance in Bayesian predictive distributions, showing that it may be...

Persistent link: https://www.econbiz.de/10009405593

Distance-based metrics : a Bayesian solution to the power and extreme-error problems in asset-pricing tests

Goyal, Amit; He, Zhongzhi; Huh, Sahn-Wook - 2018

We propose a unified set of distance-based performance metrics that address the power and extreme-error problems inherent in traditional measures for asset-pricing tests. From a Bayesian perspective, the distance metrics coherently incorporate both pricing errors and their standard errors....

Persistent link: https://www.econbiz.de/10011976958

A robust Bayesian dynamic linear model for Latin-American economic time series : "the Mexico and Puerto Rico cases"

Fúquene, Jairo; Álvarez, Marta; Pericchi, Luis R. - In: Latin American economic review : LAER ; official … 24 (2015), pp. 1-17

The traditional time series methodology requires at least a preliminary transformation of the data to get stationarity. On the other hand, robust Bayesian dynamic models (RBDMs) do not assume a regular pattern or stability of the underlying system but can include points of statement breaks. In...

Persistent link: https://www.econbiz.de/10011885537

The Bayesian approach to capital allocation at operational risk : a combination of statistical data and expert opinion

Habachi, Mohamed; Benbachir, Saâd - In: International Journal of Financial Studies : open … 8 (2020) 1/9, pp. 1-24

Operational risk management remains a major concern for financial institutions. Indeed, institutions are bound to manage their own funds to hedge this risk. In this paper, we propose an approach to allocate one's own funds based on a combination of historical data and expert opinion using the...

Persistent link: https://www.econbiz.de/10012168944

Multivariate Monotone Bayesian Updating

Torres, Ricard - 2012

We consider a Bayesian decision problem in which an agent must draw inferences about multiple unobserved variables …. This problem appears in different economic settings, for instance in the theory of agency. Assume that both observed and …

Persistent link: https://www.econbiz.de/10013098799

Advancing Style Analysis and Risk Modeling by Incorporating Model Uncertainty with Bayesian Model Averaging

Zhou, Hao (David) - 2013

Investors have increasing interests in sophisticated yet transparent analytic tools to handle model uncertainty, tail risk and market dynamics. This paper demonstrates how macroeconomic factor models, based on Bayesian model averaging (BMA), can help address the challenges in some specific...

Persistent link: https://www.econbiz.de/10013073771