Download or read book Measuring Contagion with a Bayesian Time Varying Coefficient Model written by Mr.Matteo Ciccarelli and published by International Monetary Fund. This book was released on 2003-09-01 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose using a Bayesian time-varying coefficient model estimated with Markov chain-Monte Carlo methods to measure contagion empirically. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It distinguishes contagion not only from interdependence but also from structural breaks and can be used to investigate positive as well as negative contagion. The proposed measure appears to work well using both simulated and actual data.
Download or read book Measuring Contagion with a Bayesian Time Varying Coefficient Model written by Matteo Ciccarelli and published by . This book was released on 2006 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose using a Bayesian time-varying coefficient model estimated with Markov chain-Monte Carlo methods to measure contagion empirically. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It distinguishes contagion not only from interdependence but also from structural breaks and can be used to investigate positive as well as negative contagion. The proposed measure appears to work well using both simulated and actual data.
Download or read book Measuring Contagion and Interdependence with a Bayesian Time Varying Coefficient Model written by Matteo Ciccarelli and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We use a Bayesian time-varying coefficient model to measure contagion and interdependence, and we apply it to the Chilean FX market during the 2001 Argentine crisis. The proposed framework works in the joint presence of heteroskedasticity and omitted variables, without knowledge of the crisis timing prior to the empirical analysis. It can distinguish between contagion and interdependence, as well as between unusually strong or weak market comovements. In a natural experiment based on our application, we find that the proposed framework works well in practice. In the application, we find evidence of some contagion from Argentina and some interdependence with Brazil.
Download or read book Measuring Contagion with a Bayesian Time varing Coefficient Model written by Matteo Ciccarelli and published by . This book was released on 2003 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Measuring Contagiiion with a Bayesian Time varying Coefficient Model written by Matteo Ciccarelli and published by . This book was released on 2003 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Measuring Contagion with a Baysian Time varying Coefficent Model written by Matteo Ciccarelli and published by . This book was released on 2003 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Statistical Modeling and Computation written by Dirk P. Kroese and published by Springer Science & Business Media. This book was released on 2013-11-18 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook on statistical modeling and statistical inference will assist advanced undergraduate and graduate students. Statistical Modeling and Computation provides a unique introduction to modern Statistics from both classical and Bayesian perspectives. It also offers an integrated treatment of Mathematical Statistics and modern statistical computation, emphasizing statistical modeling, computational techniques, and applications. Each of the three parts will cover topics essential to university courses. Part I covers the fundamentals of probability theory. In Part II, the authors introduce a wide variety of classical models that include, among others, linear regression and ANOVA models. In Part III, the authors address the statistical analysis and computation of various advanced models, such as generalized linear, state-space and Gaussian models. Particular attention is paid to fast Monte Carlo techniques for Bayesian inference on these models. Throughout the book the authors include a large number of illustrative examples and solved problems. The book also features a section with solutions, an appendix that serves as a MATLAB primer, and a mathematical supplement.
Download or read book Bayesian Econometric Methods written by Joshua Chan and published by Cambridge University Press. This book was released on 2019-08-15 with total page 491 pages. Available in PDF, EPUB and Kindle. Book excerpt: Illustrates Bayesian theory and application through a series of exercises in question and answer format.
Download or read book Bayesian Vars written by Mr.Matteo Ciccarelli and published by International Monetary Fund. This book was released on 2003-05-01 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman (1986) and Doan et al. (1984) and review alternative priors. We then discuss extensions of the basic model and address issues in forecasting and structural analysis. An application to the estimation of a system of time-varying reaction functions for four European central banks under the European Monetary System (EMS) illustrates how some of the results previously presented may be applied in practice.
Download or read book IMF Research Bulletin written by and published by . This book was released on 2000 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Aanwinsten van de Centrale Bibliotheek Queteletfonds written by Bibliothèque centrale (Fonds Quetelet) and published by . This book was released on 2004 with total page 650 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Journal of international money and finance written by ScienceDirect (Service en ligne) and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Publications Catalog written by International Monetary Fund and published by . This book was released on 2004 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Artha Suchi written by and published by . This book was released on 2004 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Bayesian Econometrics written by Mauro Bernardi and published by MDPI. This book was released on 2020-12-28 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the advent of Markov chain Monte Carlo (MCMC) methods in the early 1990s, Bayesian methods have been proposed for a large and growing number of applications. One of the main advantages of Bayesian inference is the ability to deal with many different sources of uncertainty, including data, models, parameters and parameter restriction uncertainties, in a unified and coherent framework. This book contributes to this literature by collecting a set of carefully evaluated contributions that are grouped amongst two topics in financial economics. The first three papers refer to macro-finance issues for real economy, including the elasticity of factor substitution (ES) in the Cobb–Douglas production function, the effects of government public spending components, and quantitative easing, monetary policy and economics. The last three contributions focus on cryptocurrency and stock market predictability. All arguments are central ingredients in the current economic discussion and their importance has only been further emphasized by the COVID-19 crisis.
Download or read book IMF Survey written by International Monetary Fund and published by . This book was released on 2003 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Monthly Bulletin written by and published by . This book was released on 2003 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt:
