搜索结果: 1-15 共查到“理论经济学 Bayesian”相关记录18条 . 查询时间(0.123 秒)
Overconfidence by Bayesian Rational Agents
Risk and Uncertainty Measurement and Metrics Game Theory Forecasting and Prediction
2015/4/23
This paper derives two mechanisms through which Bayesian-rational individuals with differing priors will tend to be relatively overconfident about their estimates and predictions, in the sense of over...
Budget Feasible Mechanism Design:From Prior-Free to Bayesian
Mechanism design, budget feasible, prior-free, Bayesian, submodular, subadditive, approximation
2012/12/3
Budget feasible mechanism design studies procurement combinatorial auctions in which the sellers have private costs to produce items, and the buyer (auctioneer) aims to maxi mize a social valuation fu...
A Test of the Adaptive Market Hypothesis using Non-Bayesian Time-Varying AR Model in Japan
Adaptive Market Hypothesis Non-Bayesian Time-Varying Autoregressive Model Market Efficiency Long-Run Multipliers Kalman Smoothing
2012/9/14
This paper examines the adaptive market hypothesis of Lo (2004, 2005) using the Ito and Noda’s (2012) non-Bayesian time-varying AR model in Japan. As shown
in Ito and Noda (2012), their degree of mar...
Bayesian logistic betting strategy against probability forecasting
exponential family game-theoretic probability Japan Meteorological Agency probability of precipitation strong law of large numbers
2012/4/28
We propose a betting strategy based on Bayesian logistic regression modeling for the probability forecasting game in the framework of game-theoretic probability by Shafer and Vovk (2001). We prove som...
Bayesian estimation of GARCH model with an adaptive proposal density
Bayesian estimation GARCH model adaptive proposal density
2011/1/4
A Bayesian estimation of a GARCH model is performed for US Dollar/Japanese Yen exchange rate by the Metropolis-Hastings algorithm with a proposal density given by the adaptive construction scheme. In ...
Stable-1/2 Bridges and Insurance: a Bayesian approach to non-life reserving
Stochastic reserving Bayesian updating information-based asset pricing
2010/10/20
We develop a non-life reserving model using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an arbitrary choice of a priori distribution for the ultimate loss. Tak...
Chain ladder method: Bayesian bootstrap versus classical bootstrap
Claims reserving distribution-free chain ladder mean square error of prediction
2010/10/19
The intention of this paper is to estimate a Bayesian distribution-free chain ladder (DFCL) model using approximate Bayesian computation (ABC) methodology. We demonstrate how to estimate quantities o...
Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model
Cointegrated Vector Auto Regressions Markov chain Monte Carlo
2010/4/28
This paper develops a matrix-variate adaptive Markov chain Monte Carlo (MCMC) methodology for Bayesian Cointegrated Vector Auto Regressions (CVAR). We replace the popular approach to sampling Bayesian...
Chain ladder method: Bayesian bootstrap versus classical bootstrap
Claims reserving distribution-free chain ladder mean square error of prediction Bayesian chain ladder approximate Bayesian computation Markov chain Monte Carlo annealing bootstrap
2010/4/28
The intention of this paper is to estimate a Bayesian distribution-free chain ladder (DFCL) model using approximate Bayesian computation (ABC) methodology. We demonstrate how to estimate quantities of...
Self-Selectivity in Firm’s Decision to Withdraw IPO: Bayesian Inference for Hazard Models of Bankruptcy with Feedback
IPO finance studies survival probabilities
2011/4/1
Examination on firm performance subsequent to a chosen event is widely used in finance studies to analyze the motivation behind managerial decisions. However, results are often subject to bias when th...
Bayesian Inference of Stochastic Volatility Model by Hybrid Monte Carlo
Hybrid Monte Carlo Algorithm Stochastic Volatility Model
2010/10/18
The hybrid Monte Carlo (HMC) algorithm is applied for the Bayesian inference of the stochastic volatility (SV) model. We use the HMC algorithm for the Markov chain Monte Carlo updates of volatility va...
Market Implied Probability Distributions and Bayesian Skew Estimation
Market Implied Probability Distributions Bayesian Skew Estimation
2010/11/2
We review and illustrate how the volatility smile translates into a probability distribution, the market-implied probability distribution representing believes priced in. The effects of changes in the...
Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme
Bayesian Adaptive Construction Scheme
2010/11/1
We study the performance of the adaptive construction scheme for a Bayesian inference on the Quadratic GARCH model which introduces the asymmetry in time series dynamics.In the adaptive construction s...
The Structural Modelling of Operational Risk via Bayesian inference: Combining Loss Data with Expert Opinions
operational risk loss distribution approach Bayesian inference
2010/10/29
To meet the Basel II regulatory requirements for the Advanced Measurement Approaches,
the bank’s internal model must include the use of internal data, relevant external data,
scenario analysis and f...
A Bayesian Networks Approach to Operational Risk
Operational Risk Complex Systems Bayesian Networks Time Series Value-at-Risk
2010/11/1
A system for Operational Risk management based on the computational paradigm of Bayesian Networks is presented. The algorithm allows the construction of a Bayesian Network targeted for each bank using...