Sökning: "Bayesian VAR"

Visar resultat 1 - 5 av 24 avhandlingar innehållade orden Bayesian VAR.

1. 1. VAR Models, Cointegration and Mixed-Frequency Data

   Författare :Sebastian Ankargren; Johan Lyhagen; Yukai Yang; Gregor Kastner; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; vector error correction; small open economy; mixed-frequency data; Bayesian; steady state; nowcasting; state-space model; large VARs; simulation smoothing; factor stochastic volatility; R; Statistics; Statistik;

   Sammanfattning : This thesis consists of five papers that study two aspects of vector autoregressive (VAR) modeling: cointegration and mixed-frequency data.Paper I develops a method for estimating a cointegrated VAR model under restrictions implied by the economy under study being a small open economy. LÄS MER

3. 2. Model choice in Bayesian VAR models

   Författare :Shutong Ding; Mattias Villani; Örebro universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Statistics; Statistik;

   Sammanfattning : .... LÄS MER

4. 3. Option Pricing and Bayesian Learning

   Författare :Ola Jönsson; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; ekonomisk politik; ekonomiska system; ekonomisk teori; ekonometri; Bayesian learning; Volatility smile; Economics; Polya urn model; economic theory; econometrics; economic systems; Nationalekonomi; economic policy; Finansiering; Financial science;

   Sammanfattning : This thesis consists of three chapters devoted to both empirical and theoretical aspects of option pricing. The first chapter investigates the market for European options on the Swedish OMX index using daily data for the period 1993-2000. LÄS MER

5. 4. A Bayesian approach to fault isolation with application to diesel engine diagnosis

   Författare :Anna Pernestål; Bo Wahlberg; Stefan Arnborg; KTH; []
   Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Bayesian probability; fault diagnosis; fault isolation; Bayesian inference; Automatic control; Reglerteknik;

   Sammanfattning : Users of heavy trucks, as well as legislation, put increasing demands on heavy trucks. The vehicles should be more comfortable, reliable and safe. Furthermore, they should consume less fuel and be more environmentally friendly. For example, this means that faults that cause the emissions to increase must be detected early. LÄS MER

7. 5. Unconventional Monetary Policy at the International, National and Local Level

   Författare :Martin Nordström; Pär Österholm; Niclas Kreuger; Lars Hultkrantz; Jesper Lindé; Örebro universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Bayesian VAR; Cointegration; Forecast evaluation; Municipal debt; Spread; Stochastic volatility; Sveriges Riksbank; Time-varying parameters; Unconventional monetary policy;

   Sammanfattning : This thesis is based on four essays. The first investigates time-variation in the relationship between short interest rates and consumption in the USA and Sweden. Results based on Bayesian VAR models indicate that the short rate ceased to respond to consumption shocks when constrained by the zero lower bound. LÄS MER