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John A Morrison's Blog – May 2012 Archive (6)

The Generalized Dynamic Factor Model one-sided estimation and forecasting 

The Generalized Dynamic Factor Model one-sided estimation and forecasting

Mario Forni, Universit`a di Modena and CEPR

Marc Hallin ISRO, ECARES, and D´epartement de Math´ematique Universit´e Libre de Bruxelles

Marco Lippi Universit`a di Roma La Sapienza

and

Lucrezia Reichlin ECARES, Universit´e Libre de Bruxelles and CEPR

Abstract

This paper proposes a new forecasting method which makes use of information from a

large panel of time series. As…

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Added by John A Morrison on May 31, 2012 at 11:51pm — No Comments

Dynamic Bond Portfolios under Model and Estimation Risk

Peter Feldh Linda S. Larsen Claus Munk Anders B. Trolle

Abstract

We investigate the impact of parameter uncertainty on the performance of bond portfolios. We assume that the data generating process is represented by the well-established three-factor essentially ane Gaussian term structure model. We estimate this model and three simpler models to US data using the

Markov Chain Monte Carlo method which provides a posterior distribution of parameters given the…

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Added by John A Morrison on May 31, 2012 at 11:42pm — No Comments

CORRELATION AND CONTAGION

CORRELATION AND CONTAGION IN EMPIRICAL FACTOR MODELS OF BANK CREDIT RISK

Michael Beenstock Department of Economics Hebrew University of Jerusalem

Mahmood Khatib School of Management Tel Aviv University

January 3, 2012

Abstract

Credit risk may be correlated because the observed and unobserved drivers of credit risk happen to be correlated, or because they are related through contagion. We identify contagion by assuming that contagion takes time. Bank…

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Added by John A Morrison on May 31, 2012 at 11:36pm — No Comments

Using Hurricane Forecasts to Adjust Peril Model Loss Probabilities

ReMetrics ReView
Using Hurricane Forecasts to Adjust Peril Model Loss Probabilities

http://www.tropicalstormrisk.com/docs/ReMetricsTSR-Oct2005.pdf

Added by John A Morrison on May 23, 2012 at 3:58am — 1 Comment

Forecasting UK GDP growth, inflation and interest rates under structural change:

Bank of England

Working Paper No. 450
Forecasting UK GDP growth, inflation and interest rates under structural change:
a comparison of models with time-varying parameters


Alina Barnett, Haroon Mumtaz and
Konstantinos Theodoridis

May 2012

http://www.bankofengland.co.uk/publications/Documents/workingpapers/wp450.pdf

Added by John A Morrison on May 19, 2012 at 4:45am — No Comments

Non-rational expectations and the transmission mechanism

Bank of England

Working Paper No. 448


Non-rational expectations and the transmission mechanism
Richard Harrison and Tim Taylor
May 2012

http://www.bankofengland.co.uk/publications/Documents/workingpapers/wp448.pdf

Added by John A Morrison on May 19, 2012 at 4:30am — No Comments

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