Similar Search Results

Bayesian doubly adaptive elastic-net Lasso for VAR shrinkage

Gefang, Deborah - In: International journal of forecasting 30 (2013) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10010243650

Bayesian doubly adaptive elastic-net Lasso for VAR shrinkage

Gefang, Deborah - In: International Journal of Forecasting 30 (2014) 1, pp. 1-11

We develop a novel Bayesian doubly adaptive elastic-net Lasso (DAELasso) approach for VAR shrinkage. DAELasso achieves … shrinkage for different coefficients. Rewriting the multivariate Laplace distribution as a scale mixture, we establish closed … DAELasso and its variants are comparable to those from other popular Bayesian methods, which provides further evidence that the …

Persistent link: https://www.econbiz.de/10010730018

Nonlinear Impacts of International Business Cycles on the UK — a Bayesian Smooth Transition VAR

Gefang, Deborah; Strachan, Rodney - Department of Economics, Leicester University - 2008

Employing a Bayesian approach, we investigate the impact of international business cycles on the UK economy in the …

Persistent link: https://www.econbiz.de/10005422700

Understanding Liquidity and Credit Risks in the Financial Crisis*

Gefang, Deborah; Koop, Gary; Potter, Simon - Economics Department, University of Strathclyde - 2011

This paper develops a structured dynamic factor model for the spreads between London Interbank Offered Rate (LIBOR) and overnight index swap (OIS) rates for a panel of banks. Our model involves latent factors which relect liquidity and credit risk. Our empirical results show that surges in the...

Persistent link: https://www.econbiz.de/10009150786

The Dynamics of UK and US Inflation Expectations*

Gefang, Deborah; Koop, Gary; Potter, Simon - Economics Department, University of Strathclyde - 2011

This paper investigates the relationship between short term and long term inflation expectations in the US and the UK with a focus on inflation pass through (i.e. how changes in short term expectations affect long term expectations). An econometric methodology is used which allows us to uncover...

Persistent link: https://www.econbiz.de/10009150788

The dynamics of UK and US inflation expectations

Gefang, Deborah; Koop, Gary; Potter, Simon M. - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3120-3133

The relationship between short term and long term inflation expectations in the US and the UK is investigated with a focus on inflation pass through (i.e. how changes in short term expectations affect long term expectations). An econometric methodology is used which allows for the uncovering...

Persistent link: https://www.econbiz.de/10011056565