1,006 research outputs found
Bayesian Semiparametric Multivariate Density Deconvolution
We consider the problem of multivariate density deconvolution when the
interest lies in estimating the distribution of a vector-valued random variable
but precise measurements of the variable of interest are not available,
observations being contaminated with additive measurement errors. The existing
sparse literature on the problem assumes the density of the measurement errors
to be completely known. We propose robust Bayesian semiparametric multivariate
deconvolution approaches when the measurement error density is not known but
replicated proxies are available for each unobserved value of the random
vector. Additionally, we allow the variability of the measurement errors to
depend on the associated unobserved value of the vector of interest through
unknown relationships which also automatically includes the case of
multivariate multiplicative measurement errors. Basic properties of finite
mixture models, multivariate normal kernels and exchangeable priors are
exploited in many novel ways to meet the modeling and computational challenges.
Theoretical results that show the flexibility of the proposed methods are
provided. We illustrate the efficiency of the proposed methods in recovering
the true density of interest through simulation experiments. The methodology is
applied to estimate the joint consumption pattern of different dietary
components from contaminated 24 hour recalls
Rules versus Discretion in Loan Rate Setting
We propose a heteroscedastic regression model to identify the determinants of the dispersion in interest rates on loans granted to small and medium sized enterprises. We interpret unexplained deviations as evidence of the banksâ discretionary use of market power in the loan rate setting process. âDiscretionâ in the loan-pricing process is most important, we find, if: (i) loans are small and uncollateralized; (ii) firms are small, risky and difficult to monitor; (iii) firmsâ owners are older, and, (iv) the banking market where the firm operates is large and highly concentrated. We also find that the weight of âdiscretionâ in loan rates of small credits to opaque firms has decreased somewhat over the last fifteen years, consistent with the proliferation of information-technologies in the banking industry. Overall, our results reflect the relevance in the credit market of the costs firms face in searching information and switching lenders.financial intermediation;loan rates;price discrimination;variance analysis
Rules versus discretion in loan rate setting
We propose a heteroscedastic regression model to identify the determinants of the dispersion in interest rates on loans granted to small and medium sized enterprises. We interpret unexplained deviations as evidence of the banksâ discretionary use of market power in the loan rate setting process. âDiscretionâ in the loan-pricing process is most important, we find, if: (i) loans are small and uncollateralized; (ii) firms are small, risky and difficult to monitor; (iii) firmsâ owners are older, and, (iv) the banking market where the firm operates is large and highly concentrated. We also find that the weight of âdiscretionâ in loan rates of small credits to opaque firms has decreased somewhat over the last fifteen years, consistent with the proliferation of information-technologies in the banking industry. Overall, our results reflect the relevance in the credit market of the costs firms face in searching information and switching lenders.financial intermediation, loan rates, price discrimination, variance analysis.
Forecasting Volatility in Stock Market Using GARCH Models
Forecasting volatility has held the attention of academics and practitioners all over the world. The objective for this master's thesis is to predict the volatility in stock market by using generalized autoregressive conditional heteroscedasticity(GARCH) methodology. A detailed explanation of GARCH models is presented and empirical results from Dow Jones Index are discussed. Different from other literatures in this field, this paper studies forecasting volatility from a new perspective by comparing GARCH(P,Q) model with GJR-GARCH(P,Q) model and EGARCH(P,Q) model. GJR-GARCH(P,Q) model turns out to be more powerful than GARCH(P,Q) model due to catching some leverage effects successfully. This makes our prediction more reliable and accurate. This paper also shows that both GARCH(P,Q) model and GJR-GARCH(P,Q) model are good choices for dealing with heteroscedastic time series
Rules versus Discretion in Loan Rate Setting
We propose a heteroscedastic regression model to identify the determinants of the dispersion in interest rates on loans granted to small and medium sized enterprises. We interpret unexplained deviations as evidence of the banksâ discretionary use of market power in the loan rate setting process. âDiscretionâ in the loan-pricing process is most important, we find, if: (i) loans are small and uncollateralized; (ii) firms are small, risky and difficult to monitor; (iii) firmsâ owners are older, and, (iv) the banking market where the firm operates is large and highly concentrated. We also find that the weight of âdiscretionâ in loan rates of small credits to opaque firms has decreased somewhat over the last fifteen years, consistent with the proliferation of information-technologies in the banking industry. Overall, our results reflect the relevance in the credit market of the costs firms face in searching information and switching lenders.financial intermediation;loan rates;price discrimination;variance analysis
Rules versus Discretion in Loan Rate Setting
We propose a heteroscedastic regression model to identify the determinants of the dispersion in interest rates on loans granted to small and medium sized enterprises. We interpret unexplained deviations as evidence of the banksâ discretionary use of market power in the loan rate setting process. âDiscretionâ in the loan-pricing process is most important, we find, if: (i) loans are small and uncollateralized; (ii) firms are small, risky and difficult to monitor; (iii) firmsâ owners are older, and, (iv) the banking market where the firm operates is large and highly concentrated. We also find that the weight of âdiscretionâ in loan rates of small credits to opaque firms has decreased somewhat over the last fifteen years, consistent with the proliferation of information-technologies in the banking industry. Overall, our results reflect the relevance in the credit market of the costs firms face in searching information and switching lenders.financial intermediation. loan rates, price discrimination, variance analysis
Forecasting of financial data: a novel fuzzy logic neural network based on error-correction concept and statistics
First, this paper investigates the effect of good and bad news on volatility in the BUX return time series using asymmetric ARCH models. Then, the accuracy of forecasting models based on statistical (stochastic), machine learning methods, and soft/granular RBF network is investigated. To forecast the high-frequency financial data, we apply statistical ARMA and asymmetric GARCH-class models. A novel RBF network architecture is proposed based on incorporation of an error-correction mechanism, which improves forecasting ability of feed-forward neural networks. These proposed modelling approaches and SVM models are applied to predict the high-frequency time series of the BUX stock index. We found that it is possible to enhance forecast accuracy and achieve significant risk reduction in managerial decision making by applying intelligent forecasting models based on latest information technologies. On the other hand, we showed that statistical GARCH-class models can identify the presence of leverage effects, and react to the good and bad news.Web of Science421049
Bayesian nonparametric multivariate convex regression
In many applications, such as economics, operations research and
reinforcement learning, one often needs to estimate a multivariate regression
function f subject to a convexity constraint. For example, in sequential
decision processes the value of a state under optimal subsequent decisions may
be known to be convex or concave. We propose a new Bayesian nonparametric
multivariate approach based on characterizing the unknown regression function
as the max of a random collection of unknown hyperplanes. This specification
induces a prior with large support in a Kullback-Leibler sense on the space of
convex functions, while also leading to strong posterior consistency. Although
we assume that f is defined over R^p, we show that this model has a convergence
rate of log(n)^{-1} n^{-1/(d+2)} under the empirical L2 norm when f actually
maps a d dimensional linear subspace to R. We design an efficient reversible
jump MCMC algorithm for posterior computation and demonstrate the methods
through application to value function approximation
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