Measuring Contagion with a Bayesian Time-Varying Coefficient Model

Measuring Contagion with a Bayesian Time-Varying Coefficient Model
Author: Mr.Matteo Ciccarelli
Publisher: International Monetary Fund
Total Pages: 34
Release: 2003-09-01
Genre: Business & Economics
ISBN: 1451858523

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.

Measuring Contagion with a Bayesian Time-Varying Coefficient Model

Measuring Contagion with a Bayesian Time-Varying Coefficient Model
Author: Matteo Ciccarelli
Publisher:
Total Pages: 33
Release: 2006
Genre:
ISBN:

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.

Statistical Modeling and Computation

Statistical Modeling and Computation
Author: Dirk P. Kroese
Publisher: Springer Science & Business Media
Total Pages: 412
Release: 2013-11-18
Genre: Computers
ISBN: 1461487757

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.​

Bayesian Econometric Methods

Bayesian Econometric Methods
Author: Joshua Chan
Publisher: Cambridge University Press
Total Pages: 491
Release: 2019-08-15
Genre: Business & Economics
ISBN: 1108423388

Illustrates Bayesian theory and application through a series of exercises in question and answer format.

Bayesian Vars

Bayesian Vars
Author: Mr.Matteo Ciccarelli
Publisher: International Monetary Fund
Total Pages: 47
Release: 2003-05-01
Genre: Business & Economics
ISBN: 1451852630

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.

Rivista delle società commerciali

Rivista delle società commerciali
Author:
Publisher:
Total Pages: 526
Release: 2003
Genre: Economics
ISBN:

Includes sections "Rassegna delle pubblicazioni economiche" and "Rassegna della stampa economica periodica."