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Die Entscheidungsrelevanz von Managementprognosen : Eine verhaltensökonomische und empirische Analyse des deutschen Kapitalmarktes
Helpenstein, Thilo - 2014
Aktienkurse gelten als repräsentativ für den ‚wahren‘ Wert von Unternehmen, da sie der aggregierten Markterwartung bezüglich aller zukünftigen Renditen entsprechen. So plausibel dieser Zusammenhang in der Theorie ist, so komplex und undurchsichtig können die Mechanismen der Preisbildung...
Persistent link: https://www.econbiz.de/10014020459
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Anticipating Correlations : A New Paradigm for Risk Management
Engle, Robert - 2009
Main description: Financial markets respond to information virtually instantaneously. Each new piece of information influences the prices of assets and their correlations with each other, and as the system rapidly changes, so too do correlation forecasts. This fast-evolving environment presents...
Persistent link: https://www.econbiz.de/10014488318
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A Markov-Chain Sampling Algorithm for GARCH Models
Nakatsuma, Teruo - In: Studies in Nonlinear Dynamics & Econometrics 3 (1998) 2
This paper describes a GAUSS program of a Markov-chain sampling algorithm for GARCH models proposed by Nakatsuma (1998). This algorithm allows us to generate Monte Carlo samples of parameters in a GARCH model from their joint posterior distribution. The samples obtained by this algorithm are...
Persistent link: https://www.econbiz.de/10014620814
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Adverse and advantageous selection in the medicare supplemental market : a bayesian analysis of prescription drug expenditure
Li, Qian; Trivedi, Pravin K. - In: Health economics 25 (2016) 2, pp. 192-211
Persistent link: https://www.econbiz.de/10011541381
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Adverse selection, moral hazard and the demand for Medigap insurance
Keane, Michael P.; Stavrunova, Olena - In: Journal of econometrics 190 (2016) 1, pp. 62-78
Persistent link: https://www.econbiz.de/10011591615
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An Interest-rate Model Analysis Based on Data Augmentation Bayesian Forecasting
Minemura, Eiji - In: Journal of Applied Statistics 33 (2006) 10, pp. 1085-1104
In this paper, the author presents an efficient method of analyzing an interest-rate model using a new approach called 'data augmentation Bayesian forecasting.' First, a dynamic linear model estimation was constructed with a hierarchically-incorporated model. Next, an observational replication...
Persistent link: https://www.econbiz.de/10009225260
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Bayesian analysis of stochastic volatility models with mixture-of-normal distributions
Asai, Manabu - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 8, pp. 2579-2596
Stochastic volatility (SV) models usually assume that the distribution of asset returns conditional on the latent volatility is normal. This article analyzes SV models with a mixture-of-normal distributions in order to compare with other heavy-tailed distributions such as the Student-t...
Persistent link: https://www.econbiz.de/10010870275
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A Markov-Chain Sampling Algorithm for GARCH Models
Nakatsuma, Teruo - In: Studies in Nonlinear Dynamics & Econometrics 3 (1998) 2, pp. 107-117
This paper describes a GAUSS program of a Markov-chain sampling algorithm for GARCH models proposed by Nakatsuma (1998). This algorithm allows us to generate Monte Carlo samples of parameters in a GARCH model from their joint posterior distribution. The samples obtained by this algorithm are...
Persistent link: https://www.econbiz.de/10005751406
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A Markov-Chain Sampling Algorithm for GARCH Models
Nakatsuma, Teruo - In: Studies in Nonlinear Dynamics & Econometrics 3 (2007) 2, pp. 107-117
This paper describes a GAUSS program of a Markov-chain sampling algorithm for GARCH models proposed by Nakatsuma (1998). This algorithm allows us to generate Monte Carlo samples of parameters in a GARCH model from their joint posterior distribution. The samples obtained by this algorithm are...
Persistent link: https://www.econbiz.de/10004966247