Relevant bibliographies by topics / Bayesian VAR / Dissertations / Theses
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Dissertations / Theses on the topic 'Bayesian VAR'

Author: Grafiati
Published: 4 June 2021
Last updated: 11 March 2023

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1

Houghton, Adrian James. "Variational Bayesian inference for comparison Var(1) models." Thesis, University of Newcastle Upon Tyne, 2009. http://hdl.handle.net/10443/790.

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Suppose that we wish to determine which models in a candidate set are most likely to have given rise to a set of observed data. Then, it is well-established that, from a Bayesian viewpoint, evaluation of the marginal likelihood for each candidate is a crucial step to this end. For the purposes of model comparison, this will enable subsequent computation of both Bayes’ factors and posterior model probabilities. Given its evident significance in this area, it is thus regrettable that analytic calculation of the marginal likelihood is often not possible. To tackle this problem, one recent additio
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2

Siu, Wai-shing. "On a subjective modelling of VaR fa Bayesian approach /." Hong Kong : University of Hong Kong, 2001. http://sunzi.lib.hku.hk/hkuto/record.jsp?B22823785.

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3

Kim, Jae-yoon. "Essays on DSGE Models and Bayesian Estimation." Diss., Virginia Tech, 2018. http://hdl.handle.net/10919/83515.

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This thesis explores the theory and practice of sovereignty. I begin with a conceptual analysis of sovereignty, examining its theological roots in contrast with its later influence in contestations over political authority. Theological debates surrounding God’s sovereignty dealt not with the question of legitimacy, which would become important for political sovereignty, but instead with the limits of his ability. Read as an ontological capacity, sovereignty is coterminous with an existent’s activity in the world. As lived, this capacity is regularly limited by the ways in which space is produc
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4

Lanteri, Luis. "Modelos de VAR alternativos para pronósticos (VAR bayesianos y FAVAR): el caso de las exportaciones argentinas." Economía, 2012. http://repositorio.pucp.edu.pe/index/handle/123456789/117477.

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Exports are one of the key aggregates in the Argentina’s economy, both because to its links with thedomestic demand and by its influence on the behaviour of the trade balance and current account.Have adequate forecasts for this variable is useful to design policies to keep surpluses in the externalsector and prevent recurring crises seen in the past. In this work, we considered some modelsfor forecasting the performance of this aggregate, which could be an alternative to the estimationof structural econometric models. For this purpose, we used two approaches: the first is based instandard and
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5

Contino, Christian. "A Bayesian Approach to Risk Management in a World of High-Frequency Data." Thesis, The University of Sydney, 2015. http://hdl.handle.net/2123/14728.

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A Realised Volatility GARCH model using high-frequency data is developed within a Bayesian framework for the purpose of forecasting Value at Risk and Conditional Value at Risk. A Skewed Student-t return distribution is combined with a Student-t distribution in the measurement equation in a GARCH framework. Realised Volatility GARCH models show a marked improvement compared to ordinary GARCH. A Skewed Student-t Realised DCC copula model using Realised Volatility GARCH marginal functions is developed within a Bayesian framework for the purpose of forecasting portfolio tail risk. The use of co
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6

蕭偉成 and Wai-shing Siu. "On a subjective modelling of VaR: fa Bayesianapproach." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2001. http://hub.hku.hk/bib/B31225159.

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7

Unosson, Måns. "A Mixed Frequency Steady-State Bayesian Vector Autoregression: Forecasting the Macroeconomy." Thesis, Uppsala universitet, Statistiska institutionen, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-297406.

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This thesis suggests a Bayesian vector autoregressive (VAR) model which allows for explicit parametrization of the unconditional mean for data measured at different frequencies, without the need to aggregate data to the lowest common frequency. Using a normal prior for the steady-state and a normal-inverse Wishart prior for the dynamics and error covariance, a Gibbs sampler is proposed to sample the posterior distribution. A forecast study is performed using monthly and quarterly data for the US macroeconomy between 1964 and 2008. The proposed model is compared to a steady-state Bayesian VAR m
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8

Solcan, Mihaela. "Essays on Macroeconomic Price Adjustments." Thesis, Lyon 2, 2013. http://www.theses.fr/2013LYO22014.

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Au cours de la dernière décennie, les prix des logements ont augmenté de façon spectaculaire dans plusieurs pays à travers le monde. Par exemple, les prix des logements aux États-Unis, en Espagne et en Irlande ont été marqués par des cycles d'expansion et de récession les plus marquants de leur histoire. L'augmentation concomitante des prix des logements (et dans certains cas l’occurrence des épisodes d'expansion - récession) dans de nombreuses économies avancées soulève quelques questions importantes. Y a t-il eu une bulle immobilière dans les pays avancés? Quels sont les principaux détermina
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9

Sun, Lixin. "Monetary transmission mechanisms and the macroeconomy in China : VAR/VECM approach and Bayesian DSGE model simulation." Thesis, University of Birmingham, 2011. http://etheses.bham.ac.uk//id/eprint/2900/.

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In this thesis, by employing VAR/VECM approach and Bayesian Dynamic Stochastic General Equilibrium (DSGE) Model we have studied and tested the transmission mechanisms of China’s monetary policy and measured the effects of the monetary policy shocks and other exogenous macro shocks on the real macro economy to uncover the attributes of China’s business cycle. On the basis of the specified VAR/VEC Models, a bank lending channel, an interest rate channel and an asset price channel have been identified by using the time series (monthly) data of banks balance sheet variables (deposits, loans, secur
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10

Ribeiro, Ramos Francisco Fernando, and fr1960@clix pt. "Essays in time series econometrics and forecasting with applications in marketing." RMIT University. Economics, Finance and Marketing, 2007. http://adt.lib.rmit.edu.au/adt/public/adt-VIT20071220.144516.

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This dissertation is composed of two parts, an integrative essay and a set of published papers. The essay and the collection of papers are placed in the context of development and application of time series econometric models in a temporal-axis from 1970s through 2005, with particular focus in the Marketing discipline. The main aim of the integrative essay is on modelling the effects of marketing actions on performance variables, such as sales and market share in competitive markets. Such research required the estimation of two kinds of time series econometric models: multivariate and multip
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11

Ciccarelli, Matteo. "Bayesian interference in heterogeneous dynamic panel data models: three essays." Doctoral thesis, Universitat Pompeu Fabra, 2001. http://hdl.handle.net/10803/31792.

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The task of this work is to discuss issues conceming the specification, estimation, inference and forecasting in multivariate dynamic heterogeneous panel data models from a Bayesian perspective. Three essays linked by a few conraion ideas compose the work. Multivariate dynamic models (mainly VARs) based on micro or macro panel data sets have become increasingly popular in macroeconomics, especially to study the transmission of real and monetary shocks across economies. This great use of the panel VAR approach is largely justified by the fact that it allows the docimientation of the dynamic
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12

Samuel, Marco Antonio Castelo Branco. "Mudanças de Estado e Multiplicadores Fiscais no Brasil entre 1999-2012." Universidade do Estado do Rio de Janeiro, 2014. http://www.bdtd.uerj.br/tde_busca/arquivo.php?codArquivo=9006.

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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior<br>Este trabalho avalia o comportamento dos multiplicadores fiscais no Brasil entre 1999-2012. Para tanto, utiliza a metodologia desenvolvida por Sims, Waggoner e Zha (2008), que é um procedimento Bayesiano de estimação no qual os parâmetros do modelo mudam com alterações no estado da economia e os estados (regimes) seguem um processo de mudança de regime markoviano. Ou seja, foi estimado um modelo VAR Estrutural Bayesiano com mudança de regimes Markoviana (Markov Switching Structural Bayesian Vector Autoregression - MS-SBVAR). A base
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13

Ahmadi, Pooyan Amir. "Essays in empirical macroeconomics with application to monetary policy in a data-rich environment." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2010. http://dx.doi.org/10.18452/16153.

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Diese Dissertation besteht aus vier eigenständigen Aufsätzen. Das erste Kapitel liefert eine Einleitung uns einen Literaturüberblick. Im zweiten Kapitel schätzen wir die Effekte eines geldpolitischen Schocks in einer Bayesianischen faktorerweiterten Vektorautoregression. Als ein Identifikationsschema schlagen wir theoretisch fundierte Vorzeichenrestriktionen vor, welche auf die angemessenen Impuls-Antwortfolgen auferlegt werden können. Der Vorteil der faktorbasierten Vorzeichenrestriktion liegt in der Möglichkeit sehr viele theoretische fundierte Restriktionen zu setzen um so exakter zu ide
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14

Tran, Lien. "InSb semiconductors and (In,Mn)Sb diluted magnetic semiconductors." Doctoral thesis, Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät I, 2011. http://dx.doi.org/10.18452/16334.

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Im Rahmen dieser Arbeit wurden InSb- und verdünnt-magnetische In_{1-x}Mn_xSb Filme mittels Gasquellen-Molekularstrahlepitaxie hergestellt und deren strukturelle und elektronische Eigenschaften untersucht. Die 2 μm InSb-Dünnschichten wurden sowohl auf GaAs(001)-Substrat als auch um 4° in Richtung [110] fehlgeschnittenem Si(001)-Substrat hergestellt. Optimierte InSb-Schichten direkt auf GaAs zeigen eine hohe kristalline Qualität, niedriges Rauschen und eine Elektronenbeweglichkeit von 41100 cm^2/Vs bei 300 K. Die Ladungsträgerkonzentration beträgt etwa 2,9e16 cm^{-3}. Um InSb-Dünnschichten gu
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15

Feldkircher, Martin, and Florian Huber. "Unconventional US Monetary Policy: New Tools, Same Channels?" WU Vienna University of Economics and Business, 2016. http://epub.wu.ac.at/4934/1/wp222.pdf.

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In this paper we compare the transmission of a conventional monetary policy shock with that of an unexpected decrease in the term spread, which mirrors quantitative easing. Employing a time-varying vector autoregression with stochastic volatility, our results are two-fold: First, the spread shock works mainly through a boost to consumer wealth growth, while a conventional monetary policy shock affects real output growth via a broad credit / bank lending channel. Second, both shocks exhibit a distinct pattern over our sample period. More specifically, we find small output effects of a conventi
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16

Souza, Elder Tiago da Costa. "Os efeitos da interação entre as políticas fiscal e monetária sobre variáveis macroeconomicas da economia brasileira." Universidade Federal de Juiz de Fora (UFJF), 2016. https://repositorio.ufjf.br/jspui/handle/ufjf/2334.

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17

Pacifico, Antonio. "Heterogeneity, Commonality, and Interdependence in the Euro Area: Size and Dynamics of Fiscal Spillover Effects in Macroeconomic-Financial Linkages." Doctoral thesis, Luiss Guido Carli, 2014. http://hdl.handle.net/11393/287365.

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The paper develops empirical measures to estimate the strength and dymanic of fiscal spillover effects in the Euro Area. It moves for estimating a Bayesian VAR model of real and financial variables in order to examine in depth economic policy coordination and policy making, with a strong attention on the current financial crisis. Spillovers are estimated recursively with weakly-exogenous common factors. The aim of the project accounts for interdependencies across countries within the Euro Area and derives impulse response functions and conditional forecasts with the output of a Monte Carlo Mar
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18

Mazelis, Falk Henry. "The Role of Shadow Banking in the Monetary Transmission Mechanism." Doctoral thesis, Humboldt-Universität zu Berlin, 2018. http://dx.doi.org/10.18452/19251.

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Diese Doktorarbeit besteht aus drei Aufsätzen, in welchen die Reaktion von Finanzinstitutionen auf Geldpolitik analysiert wird. In dem ersten Aufsatz finde ich anhand eines Bayesian VAR, dass eine Erhöhung des Leitzinses zu einer zusätzlichen Kreditvergabe in Nichtbanken (NBFI) führt. Banken verleihen wie bereits bekannt weniger. Der Grund für die gegensätzliche Bewegung liegt in der unterschiedliche Art der Finanzierung. Dieser Befund legt nahe, dass die Existenz von NBFI die Volatilität der aggregierten Kreditvergabe zu geldpolitischen Schocks verringern könnte. Zusätzlich bietet die Analyse
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19

Bañbura, Marta. "Essays in dynamic macroeconometrics." Doctoral thesis, Universite Libre de Bruxelles, 2009. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210294.

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The thesis contains four essays covering topics in the field of macroeconomic forecasting.<p><p>The first two chapters consider factor models in the context of real-time forecasting with many indicators. Using a large number of predictors offers an opportunity to exploit a rich information set and is also considered to be a more robust approach in the presence of instabilities. On the other hand, it poses a challenge of how to extract the relevant information in a parsimonious way. Recent research shows that factor models provide an answer to this problem. The fundamental assumption underlying
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20

Caruso, Alberto. "Essays on Empirical Macroeconomics." Doctoral thesis, Universite Libre de Bruxelles, 2020. https://dipot.ulb.ac.be/dspace/bitstream/2013/308164/4/TOC.pdf.

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The thesis contains four essays, covering topics in the field of real-time macroeconometrics, forecasting and applied macroeconomics. In the first two chapters, I use recent techniques developed in the "nowcasting" literature in order to analyse and interpret the macroeconomic news flow. I use them either to assess current macroeconomic conditions, showing the importance of foreign indicators dealing with small open economies, or linking macroeconomic news to asset prices, through a model that help us interpret macroeconomic data and explaining the linkages between macro variables and financia
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21

Sahloul, Ahmed. "Study of Egyptian macroeconomic fluctuations (1974-2010)." Thesis, Rennes 1, 2015. http://www.theses.fr/2015REN1G002.

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Cette thèse étudie les fluctuations macroéconomiques égyptiennes et compare leurs sources avec celles de certains pays du Moyen-Orient et Afrique du Nord (MENA). Un large éventail de méthodes économétriques sont utilisées pour examiner la synchronisation entre les cycles classiques et de croissance égyptiens et ceux de la région MENA, et de quantifier leurs sources de fluctuations ainsi que leurs réponses à ces sources de chocs. Nous ne trouvons aucune preuve de la synchronisation entre les cycles égyptiens et ceux de la région MENA et des pays développés. Les sources des fluctuations égyptien
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22

MIGLIARDO, CARLO. "Saggi su Politica Monetaria, Persistenza dell'Inflazione e Rigidità dei Prezzi." Doctoral thesis, Università Cattolica del Sacro Cuore, 2010. http://hdl.handle.net/10280/829.

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La tesi è organizzata in tre parti. Ognuna delle quali tratta un aspetto cruciale per la trasmissione della politica monetaria. Nella prima parte si impiega un modello Neo Keynesiano per adattarlo all’economia Italiana. A tal fine, Si stimano le risposte dinamiche, sia simulando il modello e sia utilizzando le serie storiche, impiegando la metodologia SMM. Nella seconda parte sono riportate le nuove evidenze sulla persistenza dell’inflazione, attraverso l’utilizzo di una nuova tecnica di identificazione di un modello “Bayesian VAR”; con l’obiettivo di analizzare gli effetti di vari shock di po
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MIGLIARDO, CARLO. "Saggi su Politica Monetaria, Persistenza dell'Inflazione e Rigidità dei Prezzi." Doctoral thesis, Università Cattolica del Sacro Cuore, 2010. http://hdl.handle.net/10280/829.

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La tesi è organizzata in tre parti. Ognuna delle quali tratta un aspetto cruciale per la trasmissione della politica monetaria. Nella prima parte si impiega un modello Neo Keynesiano per adattarlo all’economia Italiana. A tal fine, Si stimano le risposte dinamiche, sia simulando il modello e sia utilizzando le serie storiche, impiegando la metodologia SMM. Nella seconda parte sono riportate le nuove evidenze sulla persistenza dell’inflazione, attraverso l’utilizzo di una nuova tecnica di identificazione di un modello “Bayesian VAR”; con l’obiettivo di analizzare gli effetti di vari shock di po
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24

Conti, Antoniomaria. "Essays on Monetary Policy, Low Inflation and the Business Cycle." Doctoral thesis, Universite Libre de Bruxelles, 2017. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/260933.

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The last ten years have been extremely challenging for both researchers in monetary economics and policymakers.The Global Financial Crisis of 2007-2009, in spite of its size and severity, was initially widely perceived in the Euro Area (EA) as an imported and transitory crisis: it was frequently predicted that the EA economy would recover once the US and the World Economy rebounded. Instead, after a brief period of recovery, the Euro Area was hit by the Sovereign Debt Crisis of 2011-12, a domestic crisis which widened the divide already existing between core and peripheral countries up to the
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25

Pacifico, Antonio. "Heterogeneity, commonality and interdependence in the euro area: size and dynamics of fiscal spillover effects in macroeconomic-financial linkages." Doctoral thesis, Luiss Guido Carli, 2014. http://hdl.handle.net/11385/201004.

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The paper develops empirical measures to estimate the strength and dymanic of fiscal spillover effects in the Euro Area. It moves for estimating a Bayesian VAR model of real and financial variables in order to examine in depth economic policy coordination and policy making, with a strong attention on the current financial crisis. Spillovers are estimated recursively with weakly-exogenous common factors. The aim of the project accounts for interdependencies across countries within the Euro Area and derives impulse response functions and conditional forecasts with the output of an Monte Ca
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26

Hauer, Mariana. "Os modelos VAR e VEC espaciais : uma abordagem bayesiana." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2007. http://hdl.handle.net/10183/12585.

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O objetivo deste trabalho é apresentar o Modelo Vetorial Autorregressivo (VAR) e uma das suas variações, o Modelo Vetorial de Correções de Erros (VEC), segundo uma abordagem Bayesiana, considerando componentes regionais, que serão inseridos nos modelos apresentados através de informações a priori que levam em consideração a localização dos dados. Para formar tais informações a priori são utilizados conceitos referentes à econometria espacial, como por exemplo, as relações de contigüidade e as implicações que estas trazem. Como exemplo ilustrativo, o modelo em questão será aplicado a um conjunt
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27

Traore, Mohamed. "Fiscal policy, income inequality and inclusive growth in developing countries." Thesis, Université Clermont Auvergne‎ (2017-2020), 2019. http://www.theses.fr/2019CLFAD001/document.

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La question du développement inclusif dans les pays en développement est au cœur de cette thèse. Cette dernière s'articule autour de quatre chapitres sur les questions de politique fiscale et les questions liées à la croissance inclusive. Le chapitre 1 explore comment la politique fiscale de l’Etat affecte l'inclusivité de la croissance dans les pays en développement. Nous observons que la politique fiscale affecte la croissance inclusive de manière significative si et seulement si les pays ont de fortes qualités institutionnelles. En outre, notre résultat montre qu'il existe un seuil optimal
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Sun, Qi. "Four essays in dynamic macroeconomics." Thesis, St Andrews, 2010. http://hdl.handle.net/10023/941.

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Huber, Florian, Tamás Krisztin, and Philipp Piribauer. "Forecasting Global Equity Indices Using Large Bayesian VARs." WU Vienna University of Economics and Business, 2014. http://epub.wu.ac.at/4318/1/wp184.pdf.

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This paper proposes a large Bayesian Vector Autoregressive (BVAR) model with common stochastic volatility to forecast global equity indices. Using a dataset consisting of monthly data on global stock indices the BVAR model inherently incorporates co-movements in the stock markets. The time-varying specification of the covariance structure moreover accounts for sudden shifts in the level of volatility. In an out-of-sample forecasting application we show that the BVAR model with stochastic volatility significantly outperforms the random walk both in terms of root mean squared errors as well as B
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30

Zajdel, Wojciech Piotr. "Bayesian visual surveillance from object detection to distributed cameras /." [S.l. : Amsterdam : s.n.] ; Universiteit van Amsterdam [Host], 2005. http://dare.uva.nl/document/18901.

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31

Zhutova, Anastasia. "Essays in quantitative macroeconomics : assessment of structural models with financial and labor market frictions and policy implications." Thesis, Paris 1, 2016. http://www.theses.fr/2016PA01E044.

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Dans cette thèse, je fournis une évaluation empirique des relations entre les principales variables macroéconomiques qui animent le cycle économique. Nous traitons dans chacun des trois chapitres une question empirique en utilisant une approche économétrique bayésienne. Dans le premier chapitre nous étudions la contribution conditionnelle des taux de transition du marché du travail (le taux de retour en emploi et le taux de séparation). La littérature n'est pas parvenue à un consensus sur lequel des taux dominent la dynamique du marché du travail. Alors que Blanchard et Diamond (1990) ont conc
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Higa, Flores Kenji Alonso. "Predicción de tipos de cambio reales utilizando modelos VAR Bayesianos." Master's thesis, Universidad del Pacífico, 2016. http://hdl.handle.net/11354/1201.

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El presente trabajo busca documentar el potencial de los modelos VAR Bayesianos (BVAR) para la predicción de índices de tipos de cambio reales efectivos. Para esto, se prueban distintas especificaciones de modelos predictivos utilizando la base angosta de índices de tipos de cambio reales efectivos de BIS que incluye datos para 27 economías. En primera instancia se prueban modelos univariados simples para realizar las predicciones y tener un punto de referencia para las estimaciones BVAR. El análisis de los resultados de las predicciones de los modelos BVAR tradicionales muestran que estos po
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Charleroy, Rémy. "External shocks and monetary policy in emerging countries." Thesis, Paris 1, 2015. http://www.theses.fr/2015PA010031.

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Chocs externes et politique monétaire dans les pays émergents<br>We investigate the conditional correlation between exchange rate and inflation by using a multivariate BEKK GARCH model. This framework is tested on 20 emerging countries independently of each other and it allows one to consider the macroeconomic variables as having a nonlinear relationship over time. We show that the less credible a country is in applying an IT framework because of its monetary objectives or its interventions in the foreign exchange rate markets, the higher the interactions between both variables are. We also sho
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Jarocinski, Marek. "Essays on bayesian and classical econometrics with small samples." Doctoral thesis, Universitat Pompeu Fabra, 2006. http://hdl.handle.net/10803/7339.

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Esta tesis se ocupa de los problemas de la estimación econométrica con muestras pequeñas, en los contextos del los VARs monetarios y de la investigación empírica del crecimiento. Primero, demuestra cómo mejorar el análisis con VAR estructural en presencia de muestra pequeña. El primer capítulo adapta la especificación con prior intercambiable (exchangeable prior) al contexto del VAR y obtiene nuevos resultados sobre la transmisión monetaria en nuevos miembros de la Unión Europea. El segundo capítulo propone un prior sobre las tasas de crecimiento iniciales de las variables modeladas. Este
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35

Oskarsson, Christian. "Taktikröstning i kommunala val : En studie om strategiskt väljarbeteende utifrån rational choice-teorin." Thesis, Umeå universitet, Statsvetenskapliga institutionen, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-116862.

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Denna kandidatuppsats bemöter frågan om väljarbeteende i allmänna val; huruvida strategiskt röstande (taktikröstning) är ett förekommande fenomen i val till svenska kommunfullmäktige eller ej och i så fall vilka faktorer som ligger bakom strategiskt röstande. En underförstådd tes bakom väljarbeteende är att röstberättigade röstar i enlighet med deras partipreferens utifrån en rad underliggande orsaker, såsom sakpolitik, partifärg, ideologi och organisationsstruktur. Dock har viss forskning uppstått som tyder på att somliga väljare agerar konsekvent och röstar utifrån bästa möjliga utdelning (p
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Farfan, Silva Jerson David. "Choques de incertidumbre en una economia pequeña y abierta en un contexto de metas de inflación: Perú 2002-2016, enfoque Var Bayesiano." Master's thesis, Pontificia Universidad Católica del Perú, 2018. http://tesis.pucp.edu.pe/repositorio/handle/123456789/13291.

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Recientemente, los académicos y los encargados de formular políticas económicas se han centrado en los choques de incertidumbre y sus efectos en la macroeconomía. La evidencia muestra que la incertidumbre genera ciclos económicos. La mayor parte de la investigación se ha realizado para economías desarrolladas, que concluye que los choques de incertidumbre se comportan como un choque negativo de demanda agregada que reduce el PIB y la inflación. En el caso de economías en desarrollo, la investigación ha sido escasa y sólo por el lado de la demanda agregada; estos concluyen que también reducen l
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Feldkircher, Martin, Florian Huber, and Gregor Kastner. "Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?" WU Vienna University of Economics and Business, 2018. http://epub.wu.ac.at/6021/1/wp260.pdf.

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We assess the relationship between model size and complexity in the time-varying parameter VAR framework via thorough predictive exercises for the Euro Area, the United Kingdom and the United States. It turns out that sophisticated dynamics through drifting coefficients are important in small data sets while simpler models tend to perform better in sizeable data sets. To combine best of both worlds, novel shrinkage priors help to mitigate the curse of dimensionality, resulting in competitive forecasts for all scenarios considered. Furthermore, we discuss dynamic model selection to improve upon
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Senst, Martin Verfasser], Gerd [Akademischer Betreuer] [Ascheid, and Peter [Akademischer Betreuer] Vary. "On the design of iterative wireless receivers : the divergence minimization approach to approximate Bayesian inference / Martin Senst ; Gerd Ascheid, Peter Vary." Aachen : Universitätsbibliothek der RWTH Aachen, 2016. http://d-nb.info/1162498137/34.

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Senst, Martin [Verfasser], Gerd [Akademischer Betreuer] Ascheid, and Peter [Akademischer Betreuer] Vary. "On the design of iterative wireless receivers : the divergence minimization approach to approximate Bayesian inference / Martin Senst ; Gerd Ascheid, Peter Vary." Aachen : Universitätsbibliothek der RWTH Aachen, 2016. http://d-nb.info/1162498137/34.

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Portilla, Goicochea Jhonatan Josue. "Evolution of the monetary policy in Peru: an empirical application using a mixture innovation TVP-VAR-SV Model." Bachelor's thesis, Pontificia Universidad Católica del Perú, 2020. http://hdl.handle.net/20.500.12404/17992.

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This paper investigates the evolution of the monetary policy in Peru between 1996Q1 and 2016Q4 using a mixture innovation time-varying parameter vector autoregressive model with stochastic volatility (TVP-VAR-SV)model proposed by Koopetal.(2009).The main empirical results are:(i)VARcoe¢cients and volatilities change more gradually than covariance errors overtime;(ii)the volatility of monetary policy shocks is higher during pre-In ation Targeting (IT) regime;(iii)a surprise increase in the interest rate produces GDP growth falls and reduces in ation in the longrun;(iv)the interest rate re
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Van, Dyk Hendrik Oostewald. "Classification in high dimensional feature spaces / by H.O. van Dyk." Thesis, North-West University, 2009. http://hdl.handle.net/10394/4091.

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In this dissertation we developed theoretical models to analyse Gaussian and multinomial distributions. The analysis is focused on classification in high dimensional feature spaces and provides a basis for dealing with issues such as data sparsity and feature selection (for Gaussian and multinomial distributions, two frequently used models for high dimensional applications). A Naïve Bayesian philosophy is followed to deal with issues associated with the curse of dimensionality. The core treatment on Gaussian and multinomial models consists of finding analytical expressions for classification e
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WEI, YI-RONG, and 魏懿容. "Excess Stock Return Forecasting with VAR and Bayesian VAR." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/h4tup4.

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碩士<br>國立中正大學<br>財務金融系研究所<br>105<br>Campbell and Thompson (2008) found several restrictions are useful in improving the predictability of forecasting variables. In this paper, I imposes some of the restrictions proposed by Campbell and Thompson (2008) and found that the positive forecast value restriction is very powerful in improving the predictability for both VAR and Bayesian VAR. Nonetheless, the positive slopes restriction does not always perform well. The Bayesian analysis performs better in evaluating the indicators with longer impact on excess returns.
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陳志揚. "Bayesian Threshold VAR-DCC Models with Financial Applications." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/75991754245622507236.

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Janhuba, Radek. "Přelévání volatility v nově členských státech Evropské unie: Bayesovský model." Master's thesis, 2012. http://www.nusl.cz/ntk/nusl-304783.

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Volatility spillovers in stock markets have become an important phenomenon, especially in times of crises. Mechanisms of shock transmission from one mar- ket to another are important for the international portfolio diversification. Our thesis examines impulse responses and variance decomposition of main stock in- dices in emerging Central European markets (Czech Republic, Poland, Slovakia and Hungary) in the period of January 2007 to August 2009. Two models are used: A vector autoregression (VAR) model with constant variance of resid- uals and a time varying parameter vector autoregression (TV
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Livingston, Jr Glen. "A Bayesian analysis of a regime switching volatility model." Thesis, 2017. http://hdl.handle.net/1959.13/1342483.

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Research Doctorate - Doctor of Philosophy (PhD)<br>Non-linear time series data is often generated by complex systems. While linear models provide a good first approximation of a system, often a more sophisticated non-linear model is required to properly account for the features of such data. Correctly accounting for these features should lead to the fitting of a more appropriate model. Determining the features exhibited by a particular data set is a difficult task, particularly for inexperienced modellers. Therefore, it is important to move towards a modelling paradigm where little to no user
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Nguyen, Bao. "Essays in the Application of Linear and Non-Linear Bayesian VAR Models to the Macroeconomic Impacts of Energy Price Shocks." Phd thesis, 2017. http://hdl.handle.net/1885/133350.

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This thesis is a collection of five self contained empirical macroeconomic papers on the asymmetric effects of energy price shocks on various economies. Chapter 1 formally determines the number of regime changes in the US natural gas market by employing a MS-VAR model. Estimated using Bayesian methods, three regimes are identified for the period 1980 - 2016, namely, before the Decontrol Act, after the Decontrol Act and the Recession. The results show that the natural gas market tends to be much more sensitive to market fundamental shocks occu
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Son, Jong Chil. "Essays on monetary policy and asset prices." 2008. http://hdl.handle.net/1969.1/ETD-TAMU-2008-12-176.

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The recent financial and economic turmoil driven by housing market has led the economists to refocus on the issue about monetary policy and asset price, especially housing price. In this dissertation I investigate the various relationships between monetary policy and asset prices in U.S. economy through steady state Bayesian VAR (SS BVAR) and revised Taylor-typed interest rate rule (Forward-looking rule) based on Generalized Method of Moments (GMM) methodology. In chapter II, steady state Bayesian VAR (SS BVAR) methodology is introduced and multi step-ahead forecasts are executed. Upon usual s
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"The effects of monetary policy adjustments on consumer inflation and other macro variables in South Africa." Thesis, 2012. http://hdl.handle.net/10210/5091.

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M. Comm.<br>Although there has been several work done on monetary policy and inflation in South Africa, this dissertation is intended to add and expand on the existing literature on the subject with data dating back to 1970. The dissertation was inspired by recent international research that has indentified that a large Bayesian VAR model normally performs better than the normal SVAR model. Given that there has already been differing conclusions in literature on whether interest rates are effective as a tool to control inflation, there is therefore an opportunity to assess monetary policy usin
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Poon, Aubrey. "Three Applications of Time-Varying Parameter and Stochastic Volatility Models to the Malaysian and Australian Economy." Phd thesis, 2017. http://hdl.handle.net/1885/118728.

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After the introductory chapter, this thesis comprises of three chapters that examines the application of time-varying parameter and stochastic volatility models to the Malaysian and Australian economy. Chapter 2 aims to determine whether the propagation and transmission mechanism of Malaysian monetary policy differed during the Asian Financial Crisis of 1997/98 and the Global Financial Crisis of 2007/08. The methodology employs a time-varying vector-autoregression framework. The primary result is that despite having no evidence of time-variat
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Traverso, Raffaella. "Unconventional monetary policy." Master's thesis, 2014. http://hdl.handle.net/1822/30588.

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Dissertação de mestrado em Monetary, Banking and Financial Economics<br>In this work, I use data for the US at both quarterly and monthly frequencies and estimate a Bayesian Structural Vector Autoregression (B-SVAR) to assess the macroeconomic impact and the wealth effects of unconventional monetary policy. I show that neither a positive shock to the interest rate spread, nor a positive shock to the central bank s reserves significantly affect the output and the aggregate price level. However, both shocks give a strong boost to asset prices, which is temporary in the case of stock prices
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