Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data

Using a Bayesian framework this paper provides a multivariate combination approach to prediction based on a distributional state space representation of predictive densities from alternative models. In the proposed approach the model set can be incomplete. Several multivariate time-varying combination strategies are introduced. In particular, a weight dynamics driven by the past performance of the predictive densities is considered and the use of learning mechanisms. The approach is assessed using statistical and utility-based performance measures for evaluating density forecasts of US macroeconomic time series and of surveys of stock market prices

Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index

We summarize the general combination approach by Billio et al. [2010]. In the combination model the weights follow logistic autoregressive processes, change over time and their dynamics are possible driven by the past forecasting performances of the predictive densities. For illustrative purposes we apply it to combine White Noise and GARCH models to forecast the Amsterdam Exchange index and use the combined predictive forecasts in an investment asset allocation exercise

Interacting Multiple Try Algorithms with Different Proposal Distributions

We propose a new class of interacting Markov chain Monte Carlo (MCMC) algorithms designed for increasing the efficiency of a modified multiple-try Metropolis (MTM) algorithm. The extension with respect to the existing MCMC literature is twofold. The sampler proposed extends the basic MTM algorithm by allowing different proposal distributions in the multiple-try generation step. We exploit the structure of the MTM algorithm with different proposal distributions to naturally introduce an interacting MTM mechanism (IMTM) that expands the class of population Monte Carlo methods. We show the validity of the algorithm and discuss the choice of the selection weights and of the different proposals. We provide numerical studies which show that the new algorithm can perform better than the basic MTM algorithm and that the interaction mechanism allows the IMTM to efficiently explore the state space

Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures

It is well known that the Basel II Accord requires banks and other Authorized Deposit-taking Institutions (ADIs) to communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models, whether individually or as combinations, to measure Value-at-Risk (VaR). The risk estimates of these models are used to determine capital requirements and associated capital costs of ADIs, depending in part on the number of previous violations, whereby realised losses exceed the estimated VaR. McAleer et al. (2009) proposed a new approach to model selection for predicting VaR, consisting of combining alternative risk models, and comparing conservative and aggressive strategies for choosing between VaR models. This paper addresses the question of risk management of risk, namely VaR of VIX futures prices, and extends the approaches given in McAleer et al. (2009) and Chang et al. (2011) to examine how different risk management strategies performed during the 2008-09 global financial crisis (GFC). The empirical results suggest that an aggressive strategy of choosing the Supremum of single model forecasts, as compared with Bayesian and non-Bayesian combinations of models, is preferred to other alternatives, and is robust during the GFC. However, this strategy implies relatively high numbers of violations and accumulated losses, which are admissible under the Basel II Accord

Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model

__Abstract__ Interactions between the eurozone and US booms and busts and among major eurozone economies are analyzed by introducing a panel Markov-switching VAR model well suitable for a multi-country cyclical analysis. The model accommodates changes in low and high data frequencies and endogenous time-varying transition matrices of the country-specific Markov chains. The transition matrix of each Markov chain depends on its own past history and on the history of the other chains, thus allowing for modeling of the interactions between cycles. An endogenous common eurozone cycle is derived by aggregating country-specific cycles. The model is estimated using a simulation based Bayesian approach in which an efficient multi-move strategy algorithm is defined to draw common time-varying Markov-switching chains. Our results show that the US and eurozone cycles are not fully synchronized over the 1991-2013 sample period, with evidence of more recessions in the Eurozone. Shocks affect the US 1-quarter in advance of the eurozone, but these spread very rapidly among economies. An increase in the number of eurozone countries in recession increases the probability of the US to stay within recession, while the US recession indicator has a negative impact on the probability to stay in recession for eurozone countries. Turning point analysis shows that the cycles of Germany, France and Italy are closer to the US cycle than other countries. Belgium, Spain, and Germany, provide more timely information on the aggregate recession than Netherlands and France

Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox

This paper presents the Matlab package DeCo (Density Combination) which is based on the paper by Billio et al. (2013) where a constructive Bayesian approach is presented for combining predictive densities originating from different models or other sources of information. The combination weights are time-varying and may depend on past predictive forecasting performances and other learning mechanisms. The core algorithm is the function DeCo which applies banks of parallel Sequential Monte Carlo algorithms to filter the time-varying combination weights. The DeCo procedure has been implemented both for standard CPU computing and for Graphical Process Unit (GPU) parallel computing. For the GPU implementation we use the Matlab parallel computing toolbox and show how to use General Purposes GPU computing almost effortless. This GPU implementation comes with a speed up of the execution time up to seventy times compared to a standard CPU Matlab implementation on a multicore CPU. We show the use of the package and the computational gain of the GPU version, through some simulation experiments and empirical applications

Being on the field when the game is still under way. The financial press and stock markets in times of crisis

This paper looks at the relationship between negative news and stock markets in times of global crisis, such as the 2008/2009 period. We analysed one year of front page banner headlines of three financial newspapers, the Wall Street Journal, Financial Times, and Il Sole24ore to examine the influence of bad news both on stock market volatility and dynamic correlation. Our results show that the press and markets influenced each other in generating market volatility and in particular, that the Wall Street Journal had a crucial effect both on the volatility and correlation between the US and foreign markets. We also found significant differences between newspapers in their interpretation of the crisis, with the Financial Times being significantly pessimistic even in phases of low market volatility. Our results confirm the reflexive nature of stock markets. When the situation is uncertain and unpredictable, market behaviour may even reflect qualitative, big picture, and subjective information such as streamers in a newspaper, whose economic and informative value is questionable

Practice patterns and 90-day treatment-related morbidity in early-stage cervical cancer

To evaluate the impact of the Laparoscopic Approach to Cervical Cancer (LACC) Trial on patterns of care and surgery-related morbidity in early-stage cervical cancer

Taking the pulse of Earth's tropical forests using networks of highly distributed plots

Tropical forests are the most diverse and productive ecosystems on Earth. While better understanding of these forests is critical for our collective future, until quite recently efforts to measure and monitor them have been largely disconnected. Networking is essential to discover the answers to questions that transcend borders and the horizons of funding agencies. Here we show how a global community is responding to the challenges of tropical ecosystem research with diverse teams measuring forests tree-by-tree in thousands of long-term plots. We review the major scientific discoveries of this work and show how this process is changing tropical forest science. Our core approach involves linking long-term grassroots initiatives with standardized protocols and data management to generate robust scaled-up results. By connecting tropical researchers and elevating their status, our Social Research Network model recognises the key role of the data originator in scientific discovery. Conceived in 1999 with RAINFOR (South America), our permanent plot networks have been adapted to Africa (AfriTRON) and Southeast Asia (T-FORCES) and widely emulated worldwide. Now these multiple initiatives are integrated via ForestPlots.net cyber-infrastructure, linking colleagues from 54 countries across 24 plot networks. Collectively these are transforming understanding of tropical forests and their biospheric role. Together we have discovered how, where and why forest carbon and biodiversity are responding to climate change, and how they feedback on it. This long-term pan-tropical collaboration has revealed a large long-term carbon sink and its trends, as well as making clear which drivers are most important, which forest processes are affected, where they are changing, what the lags are, and the likely future responses of tropical forests as the climate continues to change. By leveraging a remarkably old technology, plot networks are sparking a very modern revolution in tropical forest science. In the future, humanity can benefit greatly by nurturing the grassroots communities now collectively capable of generating unique, long-term understanding of Earth's most precious forests.Additional co-authors: Susan Laurance, William Laurance, Francoise Yoko Ishida, Andrew Marshall, Catherine Waite, Hannsjoerg Woell, Jean-Francois Bastin, Marijn Bauters, Hans Beeckman, Pfascal Boeckx, Jan Bogaert, Charles De Canniere, Thales de Haulleville, Jean-Louis Doucet, Olivier Hardy, Wannes Hubau, Elizabeth Kearsley, Hans Verbeeck, Jason Vleminckx, Steven W. Brewer, Alfredo Alarcón, Alejandro Araujo-Murakami, Eric Arets, Luzmila Arroyo, Ezequiel Chavez, Todd Fredericksen, René Guillén Villaroel, Gloria Gutierrez Sibauty, Timothy Killeen, Juan Carlos Licona, John Lleigue, Casimiro Mendoza, Samaria Murakami, Alexander Parada Gutierrez, Guido Pardo, Marielos Peña-Claros, Lourens Poorter, Marisol Toledo, Jeanneth Villalobos Cayo, Laura Jessica Viscarra, Vincent Vos, Jorge Ahumada, Everton Almeida, Jarcilene Almeida, Edmar Almeida de Oliveira, Wesley Alves da Cruz, Atila Alves de Oliveira, Fabrício Alvim Carvalho, Flávio Amorim Obermuller, Ana Andrade, Fernanda Antunes Carvalho, Simone Aparecida Vieira, Ana Carla Aquino, Luiz Aragão, Ana Claudia Araújo, Marco Antonio Assis, Jose Ataliba Mantelli Aboin Gomes, Fabrício Baccaro, Plínio Barbosa de Camargo, Paulo Barni, Jorcely Barroso, Luis Carlos Bernacci, Kauane Bordin, Marcelo Brilhante de Medeiros, Igor Broggio, José Luís Camargo, Domingos Cardoso, Maria Antonia Carniello, Andre Luis Casarin Rochelle, Carolina Castilho, Antonio Alberto Jorge Farias Castro, Wendeson Castro, Sabina Cerruto Ribeiro, Flávia Costa, Rodrigo Costa de Oliveira, Italo Coutinho, John Cunha, Lola da Costa, Lucia da Costa Ferreira, Richarlly da Costa Silva, Marta da Graça Zacarias Simbine, Vitor de Andrade Kamimura, Haroldo Cavalcante de Lima, Lia de Oliveira Melo, Luciano de Queiroz, José Romualdo de Sousa Lima, Mário do Espírito Santo, Tomas Domingues, Nayane Cristina dos Santos Prestes, Steffan Eduardo Silva Carneiro, Fernando Elias, Gabriel Eliseu, Thaise Emilio, Camila Laís Farrapo, Letícia Fernandes, Gustavo Ferreira, Joice Ferreira, Leandro Ferreira, Socorro Ferreira, Marcelo Fragomeni Simon, Maria Aparecida Freitas, Queila S. García, Angelo Gilberto Manzatto, Paulo Graça, Frederico Guilherme, Eduardo Hase, Niro Higuchi, Mariana Iguatemy, Reinaldo Imbrozio Barbosa, Margarita Jaramillo, Carlos Joly, Joice Klipel, Iêda Leão do Amaral, Carolina Levis, Antonio S. Lima, Maurício Lima Dan, Aline Lopes, Herison Madeiros, William E. Magnusson, Rubens Manoel dos Santos, Beatriz Marimon, Ben Hur Marimon Junior, Roberta Marotti Martelletti Grillo, Luiz Martinelli, Simone Matias Reis, Salomão Medeiros, Milton Meira-Junior, Thiago Metzker, Paulo Morandi, Natanael Moreira do Nascimento, Magna Moura, Sandra Cristina Müller, Laszlo Nagy, Henrique Nascimento, Marcelo Nascimento, Adriano Nogueira Lima, Raimunda Oliveira de Araújo, Jhonathan Oliveira Silva, Marcelo Pansonato, Gabriel Pavan Sabino, Karla Maria Pedra de Abreu, Pablo José Francisco Pena Rodrigues, Maria Piedade, Domingos Rodrigues, José Roberto Rodrigues Pinto, Carlos Quesada, Eliana Ramos, Rafael Ramos, Priscyla Rodrigues, Thaiane Rodrigues de Sousa, Rafael Salomão, Flávia Santana, Marcos Scaranello, Rodrigo Scarton Bergamin, Juliana Schietti, Jochen Schöngart, Gustavo Schwartz, Natalino Silva, Marcos Silveira, Cristiana Simão Seixas, Marta Simbine, Ana Claudia Souza, Priscila Souza, Rodolfo Souza, Tereza Sposito, Edson Stefani Junior, Julio Daniel do Vale, Ima Célia Guimarães Vieira, Dora Villela, Marcos Vital, Haron Xaud, Katia Zanini, Charles Eugene Zartman, Nur Khalish Hafizhah Ideris, Faizah binti Hj Metali, Kamariah Abu Salim, Muhd Shahruney Saparudin, Rafizah Mat Serudin, Rahayu Sukmaria Sukri, Serge Begne, George Chuyong, Marie Noel Djuikouo, Christelle Gonmadje, Murielle Simo-Droissart, Bonaventure Sonké, Hermann Taedoumg, Lise Zemagho, Sean Thomas, Fidèle Baya, Gustavo Saiz, Javier Silva Espejo, Dexiang Chen, Alan Hamilton, Yide Li, Tushou Luo, Shukui Niu, Han Xu, Zhang Zhou, Esteban Álvarez-Dávila, Juan Carlos Andrés Escobar, Henry Arellano-Peña, Jaime Cabezas Duarte, Jhon Calderón, Lina Maria Corrales Bravo, Borish Cuadrado, Hermes Cuadros, Alvaro Duque, Luisa Fernanda Duque, Sandra Milena Espinosa, Rebeca Franke-Ante, Hernando García, Alejandro Gómez, Roy González-M., Álvaro Idárraga-Piedrahíta, Eliana Jimenez, Rubén Jurado, Wilmar López Oviedo, René López-Camacho, Omar Aurelio Melo Cruz, Irina Mendoza Polo, Edwin Paky, Karen Pérez, Angel Pijachi, Camila Pizano, Adriana Prieto, Laura Ramos, Zorayda Restrepo Correa, James Richardson, Elkin Rodríguez, Gina M. Rodriguez M., Agustín Rudas, Pablo Stevenson, Markéta Chudomelová, Martin Dancak, Radim Hédl, Stanislav Lhota, Martin Svatek, Jacques Mukinzi, Corneille Ewango, Terese Hart, Emmanuel Kasongo Yakusu, Janvier Lisingo, Jean-Remy Makana, Faustin Mbayu, Benjamin Toirambe, John Tshibamba Mukendi, Lars Kvist, Gustav Nebel, Selene Báez, Carlos Céron, Daniel M. Griffith, Juan Ernesto Guevara Andino, David Neill, Walter Palacios, Maria Cristina Peñuela-Mora, Gonzalo Rivas-Torres, Gorky Villa, Sheleme Demissie, Tadesse Gole, Techane Gonfa, Kalle Ruokolainen, Michel Baisie, Fabrice Bénédet, Wemo Betian, Vincent Bezard, Damien Bonal, Jerôme Chave, Vincent Droissart, Sylvie Gourlet-Fleury, Annette Hladik, Nicolas Labrière, Pétrus Naisso, Maxime Réjou-Méchain, Plinio Sist, Lilian Blanc, Benoit Burban, Géraldine Derroire, Aurélie Dourdain, Clement Stahl, Natacha Nssi Bengone, Eric Chezeaux, Fidèle Evouna Ondo, Vincent Medjibe, Vianet Mihindou, Lee White, Heike Culmsee, Cristabel Durán Rangel, Viviana Horna, Florian Wittmann, Stephen Adu-Bredu, Kofi Affum-Baffoe, Ernest Foli, Michael Balinga, Anand Roopsind, James Singh, Raquel Thomas, Roderick Zagt, Indu K. Murthy, Kuswata Kartawinata, Edi Mirmanto, Hari Priyadi, Ismayadi Samsoedin, Terry Sunderland, Ishak Yassir, Francesco Rovero, Barbara Vinceti, Bruno Hérault, Shin-Ichiro Aiba, Kanehiro Kitayama, Armandu Daniels, Darlington Tuagben, John T. Woods, Muhammad Fitriadi, Alexander Karolus, Kho Lip Khoon, Noreen Majalap, Colin Maycock, Reuben Nilus, Sylvester Tan, Almeida Sitoe, Indiana Coronado G., Lucas Ojo, Rafael de Assis, Axel Dalberg Poulsen, Douglas Sheil, Karen Arévalo Pezo, Hans Buttgenbach Verde, Victor Chama Moscoso, Jimmy Cesar Cordova Oroche, Fernando Cornejo Valverde, Massiel Corrales Medina, Nallaret Davila Cardozo, Jano de Rutte Corzo, Jhon del Aguila Pasquel, Gerardo Flores Llampazo, Luis Freitas, Darcy Galiano Cabrera, Roosevelt García Villacorta, Karina Garcia Cabrera, Diego García Soria, Leticia Gatica Saboya, Julio Miguel Grandez Rios, Gabriel Hidalgo Pizango, Eurídice Honorio Coronado, Isau Huamantupa-Chuquimaco, Walter Huaraca Huasco, Yuri Tomas Huillca Aedo, Jose Luis Marcelo Peña, Abel Monteagudo Mendoza, Vanesa Moreano Rodriguez, Percy Núñez Vargas, Sonia Cesarina Palacios Ramos, Nadir Pallqui Camacho, Antonio Peña Cruz, Freddy Ramirez Arevalo, José Reyna Huaymacari, Carlos Reynel Rodriguez, Marcos Antonio Ríos Paredes, Lily Rodriguez Bayona, Rocio del Pilar Rojas Gonzales, Maria Elena Rojas Peña, Norma Salinas Revilla, Yahn Carlos Soto Shareva, Raul Tupayachi Trujillo, Luis Valenzuela Gamarra, Rodolfo Vasquez Martinez, Jim Vega Arenas, Christian Amani, Suspense Averti Ifo, Yannick Bocko, Patrick Boundja, Romeo Ekoungoulou, Mireille Hockemba, Donatien Nzala, Alusine Fofanah, David Taylor, Guillermo Bañares-de Dios, Luis Cayuela, Íñigo Granzow-de la Cerda, Manuel Macía, Juliana Stropp, Maureen Playfair, Verginia Wortel, Toby Gardner, Robert Muscarella, Hari Priyadi, Ervan Rutishauser, Kuo-Jung Chao, Pantaleo Munishi, Olaf Bánki, Frans Bongers, Rene Boot, Gabriella Fredriksson, Jan Reitsma, Hans ter Steege, Tinde van Andel, Peter van de Meer, Peter van der Hout, Mark van Nieuwstadt, Bert van Ulft, Elmar Veenendaal, Ronald Vernimmen, Pieter Zuidema, Joeri Zwerts, Perpetra Akite, Robert Bitariho, Colin Chapman, Eilu Gerald, Miguel Leal, Patrick Mucunguzi, Miguel Alexiades, Timothy R. Baker, Karina Banda, Lindsay Banin, Jos Barlow, Amy Bennett, Erika Berenguer, Nicholas Berry, Neil M. Bird, George A. Blackburn, Francis Brearley, Roel Brienen, David Burslem, Lidiany Carvalho, Percival Cho, Fernanda Coelho, Murray Collins, David Coomes, Aida Cuni-Sanchez, Greta Dargie, Kyle Dexter, Mat Disney, Freddie Draper, Muying Duan, Adriane Esquivel-Muelbert, Robert Ewers, Belen Fadrique, Sophie Fauset, Ted R. Feldpausch, Filipe França, David Galbraith, Martin Gilpin, Emanuel Gloor, John Grace, Keith Hamer, David Harris, Tommaso Jucker, Michelle Kalamandeen, Bente Klitgaard, Aurora Levesley, Simon L. Lewis, Jeremy Lindsell, Gabriela Lopez-Gonzalez, Jon Lovett, Yadvinder Malhi, Toby Marthews, Emma McIntosh, Karina Melgaço, William Milliken, Edward Mitchard, Peter Moonlight, Sam Moore, Alexandra Morel, Julie Peacock, Kelvin Peh, Colin Pendry, R. Toby Pennington, Luciana de Oliveira Pereira, Carlos Peres, Oliver L. Phillips, Georgia Pickavance, Thomas Pugh, Lan Qie, Terhi Riutta, Katherine Roucoux, Casey Ryan, Tiina Sarkinen, Camila Silva Valeria, Dominick Spracklen, Suzanne Stas, Martin Sullivan, Michael Swaine, Joey Talbot, James Taplin, Geertje van der Heijden, Laura Vedovato, Simon Willcock, Mathew Williams, Luciana Alves, Patricia Alvarez Loayza, Gabriel Arellano, Cheryl Asa, Peter Ashton, Gregory Asner, Terry Brncic, Foster Brown, Robyn Burnham, Connie Clark, James Comiskey, Gabriel Damasco, Stuart Davies, Tony Di Fiore, Terry Erwin, William Farfan-Rios, Jefferson Hall, David Kenfack, Thomas Lovejoy, Roberta Martin, Olga Martha Montiel, John Pipoly, Nigel Pitman, John Poulsen, Richard Primack, Miles Silman, Marc Steininger, Varun Swamy, John Terborgh, Duncan Thomas, Peter Umunay, Maria Uriarte, Emilio Vilanova Torre, Ophelia Wang, Kenneth Young, Gerardo A. Aymard C., Lionel Hernández, Rafael Herrera Fernández, Hirma Ramírez-Angulo, Pedro Salcedo, Elio Sanoja, Julio Serrano, Armando Torres-Lezama, Tinh Cong Le, Trai Trong Le, Hieu Dang Tra