Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Bayesian Model Estimation And Selection For The Weekly Colombia Exchange Rate
Download Bayesian Model Estimation And Selection For The Weekly Colombia Exchange Rate full books in PDF, epub, and Kindle. Read online Bayesian Model Estimation And Selection For The Weekly Colombia Exchange Rate ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Bayesian Model Estimation and Selection for the Weekly Colombian Exchange Rate by : Norberto Rodríguez Nino
Download or read book Bayesian Model Estimation and Selection for the Weekly Colombian Exchange Rate written by Norberto Rodríguez Nino and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Bayesian model estimation and selection for the weekly Colombia exchange rate by : Norberto Rodríguez Niño
Download or read book Bayesian model estimation and selection for the weekly Colombia exchange rate written by Norberto Rodríguez Niño and published by . This book was released on 2000 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Bayesian Estimation and Model Selection for the Weekly Colombian Exchange Rate by : Norberto Rodríguez
Download or read book Bayesian Estimation and Model Selection for the Weekly Colombian Exchange Rate written by Norberto Rodríguez and published by . This book was released on 2006 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This document reviews and applies recently developed techniques for Bayesian estimation and model selection in the context of Time Series modeling for Stochastic Volatility. After the literature review on Generalized Conditional Autoregressive models, Stochastic Volatility models, and the relevant results on Markov chain Monte Carlo methods (MCMC), an example applying such techniques is shown. The methodology is used with a series of Weekly Colombian - USA Exchange Rate on seven different models. The GARCH model, which uses Type-IV Pearson distribution, is favored for the selecting technique, Reversible Jump MCMC, over other models, including Stochastic Volatility Models with a Student-t distribution.
Book Synopsis Exchange Rates in South America's Emerging Markets by : Luis Molinas Sosa
Download or read book Exchange Rates in South America's Emerging Markets written by Luis Molinas Sosa and published by Cambridge University Press. This book was released on 2020-07-16 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since Meese and Rogoff (1983) results showed that no model could outperform a random walk in predicting exchange rates. Many papers have tried to find a forecasting methodology that could beat the random walk, at least for certain forecasting periods. This Element compares the Purchasing Power Parity, the Uncovered Interest Rate, the Sticky Price, the Bayesian Model Averaging, and the Bayesian Vector Autoregression models to the random walk benchmark in forecasting exchange rates between most South American currencies and the US Dollar, and between the Paraguayan Guarani and the Brazilian Real and the Argentinian Peso. Forecasts are evaluated under the criteria of Root Mean Square Error, Direction of Change, and the Diebold-Mariano statistic. The results indicate that the two Bayesian models have greater forecasting power and that there is little evidence in favor of using the other three fundamentals models, except Purchasing Power Parity at longer forecasting horizons.
Book Synopsis Understanding the Behavior of the Real Exchange Rate: Bayesian Estimation of Nonlinear Models by :
Download or read book Understanding the Behavior of the Real Exchange Rate: Bayesian Estimation of Nonlinear Models written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :International Monetary Fund Publisher :INTERNATIONAL MONETARY FUND ISBN 13 :9781451808940 Total Pages :75 pages Book Rating :4.8/5 (89 download)
Book Synopsis Colombia: Selected Issues by : International Monetary Fund
Download or read book Colombia: Selected Issues written by International Monetary Fund and published by INTERNATIONAL MONETARY FUND. This book was released on 2008-01-28 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper quantifies the dynamic effects of fiscal policy using a structural model, the Global Integrated Monetary and Fiscal Model (GIMF). The analysis finds that success of fiscal policy in enhancing macroeconomic stability depends on the type of shock, the response of monetary policy, and the length of fiscal policy implementation lags. The paper also presents the basic structure of the Bayesian VAR describing its empirical implementation and the estimation results and results from the conditional forecasting exercise and remarks. It also assesses Colombia's experience with central bank foreign exchange intervention between 2004 and 2007.
Book Synopsis Understanding the Behavior of the Real Exchange Rate by : Gilles Kaltenrieder
Download or read book Understanding the Behavior of the Real Exchange Rate written by Gilles Kaltenrieder and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Introduction to Bayesian Estimation and Copula Models of Dependence by : Arkady Shemyakin
Download or read book Introduction to Bayesian Estimation and Copula Models of Dependence written by Arkady Shemyakin and published by John Wiley & Sons. This book was released on 2017-03-20 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents an introduction to Bayesian statistics, presents an emphasis on Bayesian methods (prior and posterior), Bayes estimation, prediction, MCMC,Bayesian regression, and Bayesian analysis of statistical modelsof dependence, and features a focus on copulas for risk management Introduction to Bayesian Estimation and Copula Models of Dependence emphasizes the applications of Bayesian analysis to copula modeling and equips readers with the tools needed to implement the procedures of Bayesian estimation in copula models of dependence. This book is structured in two parts: the first four chapters serve as a general introduction to Bayesian statistics with a clear emphasis on parametric estimation and the following four chapters stress statistical models of dependence with a focus of copulas. A review of the main concepts is discussed along with the basics of Bayesian statistics including prior information and experimental data, prior and posterior distributions, with an emphasis on Bayesian parametric estimation. The basic mathematical background of both Markov chains and Monte Carlo integration and simulation is also provided. The authors discuss statistical models of dependence with a focus on copulas and present a brief survey of pre-copula dependence models. The main definitions and notations of copula models are summarized followed by discussions of real-world cases that address particular risk management problems. In addition, this book includes: • Practical examples of copulas in use including within the Basel Accord II documents that regulate the world banking system as well as examples of Bayesian methods within current FDA recommendations • Step-by-step procedures of multivariate data analysis and copula modeling, allowing readers to gain insight for their own applied research and studies • Separate reference lists within each chapter and end-of-the-chapter exercises within Chapters 2 through 8 • A companion website containing appendices: data files and demo files in Microsoft® Office Excel®, basic code in R, and selected exercise solutions Introduction to Bayesian Estimation and Copula Models of Dependence is a reference and resource for statisticians who need to learn formal Bayesian analysis as well as professionals within analytical and risk management departments of banks and insurance companies who are involved in quantitative analysis and forecasting. This book can also be used as a textbook for upper-undergraduate and graduate-level courses in Bayesian statistics and analysis. ARKADY SHEMYAKIN, PhD, is Professor in the Department of Mathematics and Director of the Statistics Program at the University of St. Thomas. A member of the American Statistical Association and the International Society for Bayesian Analysis, Dr. Shemyakin's research interests include informationtheory, Bayesian methods of parametric estimation, and copula models in actuarial mathematics, finance, and engineering. ALEXANDER KNIAZEV, PhD, is Associate Professor and Head of the Department of Mathematics at Astrakhan State University in Russia. Dr. Kniazev's research interests include representation theory of Lie algebras and finite groups, mathematical statistics, econometrics, and financial mathematics.
Author :International Monetary Fund. Western Hemisphere Dept. Publisher :International Monetary Fund ISBN 13 :1484302184 Total Pages :47 pages Book Rating :4.4/5 (843 download)
Book Synopsis Colombia by : International Monetary Fund. Western Hemisphere Dept.
Download or read book Colombia written by International Monetary Fund. Western Hemisphere Dept. and published by International Monetary Fund. This book was released on 2017-05-31 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Selected Issues paper assesses the monetary policy stance and broad financial conditions in Colombia. It uses a dynamic stochastic general equilibrium model of a small open economy to estimate the neutral rate. A financial conditions index is also constructed to assess overall financial conditions through three different transmission channels (credit, leverage, risk) of the financial sector to the state of the economy. Results reveal that both monetary policy and broad financial conditions in Colombia remained tight in 2016. The results also show that tighter financial conditions could have had a sizable impact on GDP growth.
Book Synopsis The Monetary Model of Exchange Rates and Cointegration by : Javier Gardeazabal
Download or read book The Monetary Model of Exchange Rates and Cointegration written by Javier Gardeazabal and published by Springer. This book was released on 1992 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Exchange Rate Target Zone Models by : Kai Li
Download or read book Exchange Rate Target Zone Models written by Kai Li and published by . This book was released on 1997 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Forecast Evaluation of Recent Exchange Rate Models by : Gian-Marco Frey
Download or read book Forecast Evaluation of Recent Exchange Rate Models written by Gian-Marco Frey and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis uses Bayesian methods to forecast exchange rates and compares the results to existing models such as OLS and the random walk. We focus on commodity currencies where mean reversion is thought to be more plausible. To estimate the Bayesian models, two different techniques are applied. In Dynamic Model Averaging (DMA), we use an analytical approach using Kalman filters for the variation in time as well as the change in posterior model probabilities. In Bayesian Model Averaging (BMA), we employ the traditional numerical method of Markov Chain Monte Carlo Model Composition (MC3) to simulate the posterior model probabilities. Assessment of the prediction performance is done by means of Diebold-Mariano tests. The study shows that the methods used yield good forecasting results when compared to traditional methods. In particular, the dynamic methods of model averaging or model switching prove to perform best.
Book Synopsis Estimation and Model Selection of Copulas with an Application to Exchange Rates by : Hans Manner
Download or read book Estimation and Model Selection of Copulas with an Application to Exchange Rates written by Hans Manner and published by . This book was released on 2007 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Bayesian Data Analysis, Third Edition by : Andrew Gelman
Download or read book Bayesian Data Analysis, Third Edition written by Andrew Gelman and published by CRC Press. This book was released on 2013-11-01 with total page 677 pages. Available in PDF, EPUB and Kindle. Book excerpt: Now in its third edition, this classic book is widely considered the leading text on Bayesian methods, lauded for its accessible, practical approach to analyzing data and solving research problems. Bayesian Data Analysis, Third Edition continues to take an applied approach to analysis using up-to-date Bayesian methods. The authors—all leaders in the statistics community—introduce basic concepts from a data-analytic perspective before presenting advanced methods. Throughout the text, numerous worked examples drawn from real applications and research emphasize the use of Bayesian inference in practice. New to the Third Edition Four new chapters on nonparametric modeling Coverage of weakly informative priors and boundary-avoiding priors Updated discussion of cross-validation and predictive information criteria Improved convergence monitoring and effective sample size calculations for iterative simulation Presentations of Hamiltonian Monte Carlo, variational Bayes, and expectation propagation New and revised software code The book can be used in three different ways. For undergraduate students, it introduces Bayesian inference starting from first principles. For graduate students, the text presents effective current approaches to Bayesian modeling and computation in statistics and related fields. For researchers, it provides an assortment of Bayesian methods in applied statistics. Additional materials, including data sets used in the examples, solutions to selected exercises, and software instructions, are available on the book’s web page.
Book Synopsis Copulae in Mathematical and Quantitative Finance by : Piotr Jaworski
Download or read book Copulae in Mathematical and Quantitative Finance written by Piotr Jaworski and published by Springer Science & Business Media. This book was released on 2013-06-18 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 1950s, copulas have gained considerable popularity in several fields of applied mathematics, especially finance and insurance. Today, copulas represent a well-recognized tool for market and credit models, aggregation of risks, and portfolio selection. Historically, the Gaussian copula model has been one of the most common models in credit risk. However, the recent financial crisis has underlined its limitations and drawbacks. In fact, despite their simplicity, Gaussian copula models severely underestimate the risk of the occurrence of joint extreme events. Recent theoretical investigations have put new tools for detecting and estimating dependence and risk (like tail dependence, time-varying models, etc) in the spotlight. All such investigations need to be further developed and promoted, a goal this book pursues. The book includes surveys that provide an up-to-date account of essential aspects of copula models in quantitative finance, as well as the extended versions of talks selected from papers presented at the workshop in Cracow.
Book Synopsis Modeling the Distribution of Exchange Rate Time Series and Measuring the Tail Area by : Héctor Zarate
Download or read book Modeling the Distribution of Exchange Rate Time Series and Measuring the Tail Area written by Héctor Zarate and published by . This book was released on 2006 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling the unconditional distribution of returns on exchange rate and measuring its tails area are issues in the finance literature that have been studied extensively by parametric and non-parametric estimation procedures. However, a conflict of robustness is derived from them because the time series involved in this process are usually fat tailed and highly peaked around the center. Moreover, it has been an empirical fact that the initial phase of a freely floating exchange rate regime has experienced high volatility across many economies. The purpose of this paper is twofold. First, we try to capture the behavior of the Colombian exchange rate under the flexible system by fitting special types of distributions in order to obtain a new insight of the underlying distribution. Secondly, we measure the tail area through the Hill estimator. This strategy requires the number of extreme observations in he tails to be known. Therefore, the decision rule of choosing an optimal cutting observation based on the idea of spacing statistics is implemented by using a Monte Carlo simulation under different underlying distributions. The decision model is formulated in such a way that the mean squared error is minimized.
Book Synopsis Colombia: Financial Sector Assessment Program-Technical Note on Risk Analysis by : International Monetary
Download or read book Colombia: Financial Sector Assessment Program-Technical Note on Risk Analysis written by International Monetary and published by International Monetary Fund. This book was released on 2022-06-03 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Financial Sector Assessment Program (FSAP) risk analysis work was conducted in the aftermath of the initial COVID shock and subsequent lockdowns, and while a strong economic recovery was underway in Colombia during 2021. Given the persistent uncertainty around the evolution of the COVID-19 virus, and for the trajectory of the economic recovery, the outlook remained subject to significant revisions throughout the year. While the workstreams took the latest macroeconomic and supervisory data updates into account as much as possible for the various analyses, the test results and their implications should be interpreted with caution due to high uncertainty around the central projections and downside risks.
