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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 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...
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...
Bayesian inference with an adaptive proposal density for GARCH models
Bayesian inference adaptive proposal GARCH models
2010/11/2
We perform the Bayesian inference of a GARCH model by the Metropolis-Hastings algorithm with an adaptive proposal density. The adaptive proposal density is assumed to be the Student’s t-distribution a...