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  • Search: subject_exact:"Bayes-Statistik"
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Year of publication
Subject
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Bayes-Statistik 9,134 Bayesian inference 8,883 Theorie 3,810 Theory 3,701 Schätzung 1,647 Estimation 1,601 Prognoseverfahren 1,472 Forecasting model 1,421 VAR-Modell 1,188 VAR model 1,154 Schätztheorie 1,051 Estimation theory 1,030 Zeitreihenanalyse 896 Time series analysis 868 Markov-Kette 752 Markov chain 746 Dynamisches Gleichgewicht 732 Dynamic equilibrium 698 USA 691 Monte-Carlo-Simulation 652 Monte Carlo simulation 651 United States 636 Geldpolitik 620 Monetary policy 597 Modellierung 565 Scientific modelling 544 Volatilität 539 Volatility 526 Bayesian estimation 510 Stochastischer Prozess 495 Stochastic process 482 Schock 472 Shock 462 Konjunktur 431 Regressionsanalyse 431 Regression analysis 428 Business cycle 417 Spieltheorie 400 Game theory 392 Statistische Verteilung 367
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Online availability
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Free 4,171 Undetermined 2,164
Type of publication
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Book / Working Paper 4,821 Article 4,385 Journal 1
Type of publication (narrower categories)
All
Article in journal 4,135 Aufsatz in Zeitschrift 4,135 Working Paper 3,112 Graue Literatur 2,902 Non-commercial literature 2,902 Arbeitspapier 2,862 Aufsatz im Buch 256 Book section 256 Hochschulschrift 173 Thesis 116 Collection of articles written by one author 45 Sammlung 45 Collection of articles of several authors 43 Sammelwerk 43 Commentary 37 Kommentar 37 Conference paper 31 Konferenzbeitrag 31 Amtsdruckschrift 22 Government document 22 Konferenzschrift 19 Lehrbuch 16 Aufsatzsammlung 15 Textbook 13 Dissertation u.a. Prüfungsschriften 12 Forschungsbericht 11 Systematic review 11 Übersichtsarbeit 11 Case study 7 Fallstudie 7 Festschrift 7 Bibliografie enthalten 5 Bibliography included 5 Article 4 Reprint 4 Amtliche Publikation 3 Bibliografie 3 Conference proceedings 3 Handbook 3 Handbuch 3
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Language
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English 9,084 German 64 French 19 Undetermined 13 Spanish 12 Polish 6 Portuguese 3 Czech 2 Italian 2 Russian 2 Danish 1 Dutch 1 Romanian 1 Turkish 1
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Author
All
Koop, Gary 123 Dijk, Herman K. van 117 Ravazzolo, Francesco 113 Schorfheide, Frank 96 Casarin, Roberto 81 Tsionas, Efthymios G. 75 Carriero, Andrea 62 Marcellino, Massimiliano 61 Strachan, Rodney W. 60 Korobilis, Dimitris 56 Hoogerheide, Lennart 52 Clark, Todd E. 48 Billio, Monica 47 Chan, Joshua 44 Bauwens, Luc 41 Paap, Richard 40 Gupta, Rangan 39 Crespo Cuaresma, Jesús 38 Doppelhofer, Gernot 38 Havránek, Tomáš 38 Hoogerheide, Lennart F. 38 Huber, Florian 38 Del Negro, Marco 37 Feldkircher, Martin 37 Lang, Stefan 37 Canova, Fabio 34 Leon-Gonzalez, Roberto 34 Martin, Gael M. 34 Pettenuzzo, Davide 32 Fernández-Villaverde, Jesús 31 Grassi, Stefano 31 Kapetanios, George 31 Kohn, Robert 31 Österholm, Pär 31 Robert, Christian P. 30 Steel, Mark F. J. 30 Ardia, David 29 Hamilton, James D. 29 Lesage, James P. 29 Tobias, Justin L. 29
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Institution
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National Bureau of Economic Research 51 University of British Columbia / Finance Division 12 Econometrisch Instituut <Rotterdam> 10 University of Strathclyde / Department of Economics 8 University of Warwick / Department of Economics 5 European University Institute / Department of Law 4 Federal Reserve Bank of St. Louis 4 Johns Hopkins University / Department of Economics 4 University of Cambridge / Department of Applied Economics 4 Federal Reserve Bank of New York 3 Iowa State University / Department of Economics 3 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 3 Türkiye Cumhuriyet Merkez Bankası 3 University of Canterbury / Dept. of Economics and Finance 3 University of Chicago / Graduate School of Business 3 University of New England / Department of Econometrics 3 University of Sheffield / Department of Economics 3 Université de Montréal / Département de sciences économiques 3 Brown University / Department of Economics 2 Christian-Albrechts-Universität zu Kiel 2 Ekonomiska forskningsinstitutet <Stockholm> 2 Erasmus Research Institute of Management 2 INSEAD 2 Institute for Research in the Behavioral, Economic, and Management Sciences 2 Institutet för Internationell Ekonomi <Stockholm> 2 Krannert Graduate School of Management 2 Rijksuniversiteit Gent / Faculteit Economie en Bedrijfskunde 2 Robert Schuman Centre for Advanced Studies 2 Social Systems Research Institute 2 State University of New York at Albany / Department of Economics 2 Universität Konstanz 2 World Bank 2 Business Information Centre <Toronto> 1 Center for Economic Research <Tilburg> 1 Centre Européen d'Education Permanente <Fontainebleau> 1 Centre for Analytical Finance <Århus> 1 Conference State Space and Unobserved Component Models <2002, Amsterdam> 1 Conference Statistical and Computational Problems in Probability Modeling <1985, Williamsburg, Va.> 1 European Conference on New Developments in the Applications of Bayesian Methods <Fontainebleau> 1 Europäische Kommission / Gemeinsame Forschungsstelle 1
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Published in...
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Journal of econometrics 159 Discussion paper / Tinbergen Institute 127 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 107 International journal of forecasting 95 Journal of applied econometrics 82 Economic modelling 76 European journal of operational research : EJOR 73 Journal of the American Statistical Association : JASA 73 Working paper 73 Economics letters 66 Working paper series / European Central Bank 66 Econometric reviews 64 CAMA working paper series 62 Working paper / Department of Econometrics and Business Statistics, Monash University 61 Journal of economic dynamics & control 58 Journal of economic theory 58 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 57 Working papers 55 Discussion papers / CEPR 53 CESifo working papers 52 Management science : journal of the Institute for Operations Research and the Management Sciences 52 Marketing science : the marketing journal of the Institute for Operations Research and the Management Sciences 52 Discussion paper / Centre for Economic Policy Research 51 ECB Working Paper 51 Tinbergen Institute Discussion Paper 50 NBER working paper series 48 Insurance / Mathematics & economics 46 International journal of production research 46 Journal of forecasting 45 Journal of macroeconomics 45 Working paper / National Bureau of Economic Research, Inc. 43 Applied economics 40 Games and economic behavior 39 NBER Working Paper 39 Econometrics : open access journal 37 Journal of marketing research : JMR 37 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 36 Working papers in economics and statistics 36 Energy economics 35 Working paper series 34
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Source
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ECONIS (ZBW) 8,907 EconStor 254 USB Cologne (EcoSocSci) 42 OLC EcoSci 3 ArchiDok 1
Showing 1 - 50 of 9,207
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Towards a typology of risk preference : four risk profiles describe two-thirds of individuals in a large sample of the U.S. population
Frey, Renato; Duncan, Shannon M.; Weber, Elke U. - In: Journal of risk and uncertainty 66 (2023) 1, pp. 1-17
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Sparse trend estimation
Crump, Richard K.; Gospodinov, Nikolaj; Wieman, Hunter - 2023
The low-frequency movements of many economic variables play a prominent role in policy analysis and decision-making. We develop a robust estimation approach for these slow-moving trend processes, which is guided by a judicious choice of priors and is characterized by sparsity. We present some...
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Quarterly GDP estimates for the German States : new data for business cycle analyses and long-run dynamics
Lehmann, Robert; Wikman, Ida - 2023
To date, only annual information on economic activity is published for the 16 German states. In this paper, we calculate quarterly regional GDP estimates for the period between 1995 to 2021, thereby improving the regional database for Germany. The new data set will regularly be updated when...
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Evaluating monetary policy effectiveness in North Macedonia : evidence from a Bayesian FAVAR Framework
Petrovska, Magdalena; Tonovska, Jasna; Nikolov, Miso; … - 2023
This paper has adopted a Bayesian FAVAR approach to examine the monetary transmission mechanism in North Macedonia. The model is based on a broad data set that encompasses 140 monthly time series spanning between January 2010 and January 2019. In particular, the impact of policy on bank...
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Agreed and disagreed uncertainty
Gambetti, Luca; Korobilis, Dimitris; Tsoukalas, John D.; … - 2023
Persistent link: https://ebtypo.dmz1.zbw/10013532340
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Wage growth in Lithuania from 2008 to 2020 : observed drivers and underlying shocks
Garcia-Louzao, Jose; Jouvanceau, Valentin - 2023
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Robust dynamic space-time panel data models using [epsilon]-contamination : an application to crop yields and climate change
Baltagi, Badi H.; Bresson, Georges; Chaturvedi, Anoop; … - 2023
Persistent link: https://ebtypo.dmz1.zbw/10013483248
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An empirical analysis of economic growth in countries exposed to coastal risks : implications for their ecosystems
Gasmi, Farid; Recuero Virto, Laura; Couvet, Denis - 2023
Persistent link: https://ebtypo.dmz1.zbw/10013486259
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Matching with semi-bandits
Kasy, Maximilian; Teytelboym, Alexander - In: The econometrics journal 26 (2023) 1, pp. 45-66
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Estimation of the TFP gap for the largest five EMU countries
Carstensen, Kai; Kießner, Felix; Rossian, Thies - 2023
In this paper we augment the Bayesian unobserved components model of the EU Commission to estimate the cyclical component of total factor productivity (TFP gap) with a factor structure to include a wide array of business cycle indicators. We demonstrate that this model extension considerably...
Persistent link: https://ebtypo.dmz1.zbw/10013503372
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Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua; Zhao, Ran - In: Quantitative finance 23 (2023) 1, pp. 35-51
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DSGE model forecasting : rational expectations vs. adaptive learning
Warne, Anders - 2023
This paper compares within-sample and out-of-sample fit of a DSGE model with rational expectations to a model with adaptive learning. The Galí, Smets and Wouters model is the chosen laboratory using quarterly real-time euro area data vintages, covering 2001Q1-2019Q4. The adaptive learning model...
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Double conditioning : the hidden connection between Bayesian and classical statistics
Manganelli, Simone - 2023
Bayesian decisions are observationally identical to decisions with judgment. Decisions with judgment test whether a judgmental decision is optimal and, in case of rejection, move to the closest boundary of the confidence interval, for a given confidence level. The resulting decisions condition...
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Bayesian nonlinear expectation for time series modelling and its application to Bitcoin
Siu, Tak Kuen - In: Empirical economics : a quarterly journal of the … 64 (2023) 1, pp. 505-537
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Shrinkage priors for high-dimensional demand estimation
Smith, Adam N.; Griffin, Jim E. - In: Quantitative marketing and economics : QME 21 (2023) 1, pp. 95-146
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Coordinated replenishment game and learning under time dependency and uncertainty of the parameters
Ramirez, Stefanny; Brandenburg, Laurence H. van; Bauso, … - In: Dynamic games and applications : DGA 13 (2023) 1, pp. 326-352
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Bayesian local projections
Ferreira, Leonardo Nogueira; Miranda-Agrippino, Silvia; … - 2023
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Active driver or passive victim : on the role of international monetary policy transmission
Camehl, Annika; Schweinitz, Gregor von - Leibniz-Institut für Wirtschaftsforschung Halle - 2023
We provide new insights into determinants of international interest rates spillovers across seven advanced economies. To disentangle and quantify their respective importance, we identify country-specific structural monetary policy, demand, and supply equations in a Bayesian structural panel...
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How Vietnamese export firms faced financial distress during COVID-19? : a Bayesian small sample analysis
Thanh Dan Bui; Nguyen Ngoc Thach - In: Economies : open access journal 11 (2023) 2, pp. 1-12
A crucial role belongs to export firms in the export-led growth model of Vietnam. The COVID-19 disease has posed a serious challenge to the Vietnamese economy, having negatively impacted its influential export sector. However, investigating this export sector encounters small sample issues...
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Estimating the output gap after COVID : an application to Colombia
Granados, Camilo; Parra-Amado, Daniel - 2023
This study examines whether and how important it is to adjust output gap frameworks during the COVID-19 pandemic and similar unprecedentedly large-scale episodes. Our proposed modelling framework comprises a Bayesian Structural Vector Autoregresion with an identification setup based on a...
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Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships
Pajor, Anna; Wróblewska, Justyna - In: Eurasian economic review : a journal in applied … 12 (2022) 3, pp. 427-448
Persistent link: https://ebtypo.dmz1.zbw/10013431511
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Time-variation in the effects of push and pull factors on portfolio flows : evidence from a Bayesian dynamic factor model
Bettendorf, Timo; Karadimitropoulou, Aikaterini - 2022
The extent to which push and pull factors affect international capital flows is widely debated. We contribute to this strand of literature by estimating the relative importance of push and pull factors for portfolio flows over a time span, encompassing the global financial crisis, the European...
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General Bayesian time-varying parameter VARs for modeling government bond yields
Fischer, Manfred M.; Hauzenberger, Niko; Huber, Florian; … - 2022
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Reverse Bayesianism and act independence
Chakravarty, Surajeet; Kelsey, David; Teitelbaum, Joshua C. - 2022
Karni and Vierø (2013) propose a model of belief revision under growing awareness- reverse Bayesianism- which posits that as a person becomes aware of new acts, conse- quences, or act-consequence links, she revises her beliefs over an expanded state space in a way that preserves the relative...
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Analysing inflation dynamics in Iceland using a Bayesian structural vector autoregression model
Stefán Thórarinsson - 2022
Persistent link: https://ebtypo.dmz1.zbw/10012940002
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Real-time forecasts of economic growth
Sandu, Marcel Antonio; Viziniuc, Mădălin - 2022
Persistent link: https://ebtypo.dmz1.zbw/10012990221
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A Bayesian time-varying autoregressive model for improved short-term and long-term prediction
Berninger, Christoph; Stöcker, Almond; Rügamer, David - In: Journal of forecasting 41 (2022) 1, pp. 181-200
Persistent link: https://ebtypo.dmz1.zbw/10012796284
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Talking about the likelihood of risks : an agent-based simulation of discussion processes in risk workshops
Harten, Clemens; Meyer, Matthias; … - In: Journal of accounting & organizational change : JAOC 18 (2022) 1, pp. 153-173
Purpose: This paper aims to explore drivers of the effectiveness of risk assessments in risk workshops. Design/methodology/approach: This study uses an agent-based model to simulate risk assessments in risk workshops. Combining the notions of transactive memory and the ideal speech situation,...
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Modelling Okun's law - does non-Gaussianity matter?
Kiss, Tamás; Nguyen, Hoang; Österholm, Pär - 2022
In this paper, we analyse Okun's law - a relation between the change in the unemployment rate and GDP growth - using data from Australia, the euro area, the United Kingdom and the United States. More specifically, we assess the relevance of non-Gaussianity when modelling the relation. This is...
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An approach for variable selection and prediction model for estimating the Risk-Based Capital (RBC) based on machine learning algorithms
Park, Jaewon; Shin, Minsoo - In: Risks : open access journal 10 (2022) 1, pp. 1-20
The risk-based capital (RBC) ratio, an insurance company's financial soundness system, evaluates the capital adequacy needed to withstand unexpected losses. Therefore, continuous institutional improvement has been made to monitor the financial solvency of companies and protect consumers' rights,...
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New definition of default - recalibration of credit risk models using Bayesian approach
Ptak-Chmielewska, Aneta; Kopciuszewski, Paweł - In: Risks : open access journal 10 (2022) 1, pp. 1-16
After the financial crisis, the European Banking Authority (EBA) has established tighter standards around the definition of default (Capital Requirements Regulation CRR Article 178, EBA/GL/2017/16) to increase the degree of comparability and consistency in credit risk measurement and capital...
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Bayesian comparative statics
Mekonnen, Teddy; Leal Vizcaíno, René - In: Theoretical economics : TE ; an open access journal in … 17 (2022) 1, pp. 219-251
We study how changes to the informativeness of signals in Bayesian games and single‐agent decision problems affect the distribution of equilibrium actions. Focusing on supermodular environments, we provide conditions under which a more precise private signal for one agent leads to an...
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Equilibrium contracts and boundedly rational expectations
Schumacher, Heiner; Thysen, Heidi Christina - In: Theoretical economics : TE ; an open access journal in … 17 (2022) 1, pp. 371-414
We study a principal‐agent framework in which the agent forms beliefs about the principal's project based on a misspecified subjective model. She fits this model to the objective probability distribution to predict output under alternative actions. Misspecifications in the subjective model may...
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Uncertain identification
Giacomini, Raffaella; Kitagawa, Toru; Volpicella, Alessio - In: Quantitative economics : QE ; journal of the … 13 (2022) 1, pp. 95-123
Uncertainty about the choice of identifying assumptions is common in causal studies, but is often ignored in empirical practice. This paper considers uncertainty over models that impose different identifying assumptions, which can lead to a mix of point‐ and set‐identified models. We propose...
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Estimating growth at risk with skewed stochastic volatility models
Wolf, Elias - 2022
This paper proposes a Skewed Stochastic Volatility (SSV) model to model time varying, asymmetric forecast distributions to estimate Growth at Risk as introduced in Adrian, Boyarchenko, and Giannone's (2019) seminal paper "Vulnerable Growth". In contrary to their semi-parametric approach, the SSV...
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Estimating a time-varying distribution-led regime
Carrillo-Maldonado, Paul; Nikiforos, Michalis - 2022
This paper estimates the distribution-led regime of the US economy for the period 1947-2019. We use a time varying parameter model, which allows for changes in the regime over time. To the best of our knowledge this is the first paper that has attempted to do this. This innovation is important,...
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A two-stage Bayesian network model for corporate bankruptcy prediction
Cao, Yi; Liu, Xiaoquan; Zhai, Jia; Hua, Shan - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 455-472
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Bayesian approaches to shrinkage and sparse estimation
Korobilis, Dimitris; Shimizu, Kenichi - 2022
Persistent link: https://ebtypo.dmz1.zbw/10012814611
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A flexible predictive density combination model for large financial data sets in regular and crisis periods
Casarin, Roberto; Ravazollo, Francesco; Grassi, Stefano; … - 2022
A flexible predictive density combination model is introduced for large financial data sets which allows for dynamic weight learning and model set incompleteness. Dimension reduction procedures allocate the large sets of predictive densities and combination weights to relatively small sets....
Persistent link: https://ebtypo.dmz1.zbw/10012816959
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A DSGE model with partial euroization : the case of the Macedonian economy
Copaciu, Mihai; Madjoska, Joana; Mitesk, Mite - 2022
This paper describes the theoretical structure and estimation results for a DSGE model for the Macedonian economy. Having as benchmark the model of Copaciu et al. (2015), modified to allow for a fixed exchange rate, we are able to match relatively well the volatility observed in the data. Given...
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Asymptotic properties of Bayesian inference in linear regression with a structural break
Shimizu, Kenichi - 2022
Persistent link: https://ebtypo.dmz1.zbw/10012817162
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Semiparametric Bayesian estimation of dynamic discrete choice models
Norets, Andriy; Shimizu, Kenichi - 2022 - This version: February 9, 2022
Persistent link: https://ebtypo.dmz1.zbw/10012817170
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Bootstrap VAR forecasts : the effect of model uncertainties
Fresoli, Diego - In: Journal of forecasting 41 (2022) 2, pp. 279-293
Persistent link: https://ebtypo.dmz1.zbw/10012817747
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Bayesian estimation of multivariate panel probits with higher-order network interdependence and an application to firms' global market participation in Guangdong
Baltagi, Badi H.; Egger, Peter; Kesina, Michaela - 2022
This paper proposes a Bayesian estimation framework for panel-data sets with binary dependent variables where a large number of cross-sectional units is observed over a short period of time, and cross-sectional units are interdependent in more than a single network domain. The latter provides...
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The anatomy of small open economy trends
Görtz, Christoph; Theodoridis, Konstantinos; … - 2022
Persistent link: https://ebtypo.dmz1.zbw/10012878884
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Synthetic control method with convex hull restrictions : a Bayesian maximum a posteriori approach
Goh, Gyuhyeong; Yu, Jisang - In: The econometrics journal 25 (2022) 1, pp. 215-232
Persistent link: https://ebtypo.dmz1.zbw/10012878909
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Big data forecasting of South African inflation
Botha, Byron; Burger, Rulof; Kotzé, Kevin; Rankin, Neil; … - 2022
Persistent link: https://ebtypo.dmz1.zbw/10012879763
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Modeling Bayesian inspection game for non-performing loan problems
Widodo, Erwin; Rochmadhan, Oryza Akbar; Lukmandono; Januardi - In: Operations research perspectives 9 (2022), pp. 1-12
This study compiled a Bayesian inspection game as a branch in game theory to deal with non-performing loans (NPLs). Three types of games are analyzed, which are false alarm (FA), non-detection (ND), and bull's eye (BE). A Bayesian Nash equilibrium calculation process took place to formulate the...
Persistent link: https://ebtypo.dmz1.zbw/10012880419
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Approximation of zero-inflated poisson credibility premium via variational bayes approach
Kim, Minwoo; Jeong, Himchan; Dey, Dipak - In: Risks : open access journal 10 (2022) 3, pp. 1-11
While both zero-inflation and the unobserved heterogeneity in risks are prevalent issues in modeling insurance claim counts, determination of Bayesian credibility premium of the claim counts with these features are often demanding due to high computational costs associated with a use of MCMC....
Persistent link: https://ebtypo.dmz1.zbw/10013093180
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The impact of active aggregate demand on utilisation-adjusted TFP
Gantert, Konstantin - 2022
Non-clearing goods markets are an important driver of capacity utilisation and total factor productivity (TFP). The trade-off between goods prices and household search effort is central to goods market matching and therefore drives TFP over the business cycle. In this paper, I develop a...
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