Browsing Norges Banks vitenarkiv by Author "van Dijk, Herman K."

Now showing items 1-13 of 13

    • Bayesian Analysis of Boundary and Near-Boundary Evidence in Econometric Models with Reduced Rank 

      Basturk, Nalan; Hoogerheide, Lennart; van Dijk, Herman K. (Working Papers;11/2017, Working paper, 2017)
      Weak empirical evidence near and at the boundary of the parameter region is a predominant feature in econometric models. Examples are macroeconometric models with weak information on the number of stable relations, ...

    • Combination Schemes for Turning Point Predictions 

      Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K. (Working Papers;4/2012, Working paper, 2012)
      We propose new forecast combination schemes for predicting turning points of business cycles. The combination schemes deal with the forecasting performance of a given set of models and possibly providing better turning ...

    • Combined Density Nowcasting in an Uncertain Economic Environment 

      Aastveit, Knut Are; Ravazzolo, Francesco; van Dijk, Herman K. (Working Papers;17/2014, Working paper, 2014)
      We introduce a Combined Density Nowcasting (CDN) approach to Dynamic Factor Models (DFM) that in a coherent way accounts for time-varying uncertainty of several model and data features in order to provide more accurate and ...

    • Combining Predictive Densities Using Bayesian Filtering with Applications to Us Economics Data 

      Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K. (Working Papers;29/2010, Working paper, 2010)
      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 ...

    • Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance 

      Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; van Dijk, Herman K. (Working Papers;12/2015, Working paper, 2015)
      A Bayesian nonparametric predictive model is introduced to construct time-varying weighted combinations of a large set of predictive densities. A clustering mechanism allocates these densities into a smaller number of ...

    • Forecast Accuracy and Economic Gains from Bayesian Model Averaging Using Time Varying Weight 

      Hoogerheide, Lennart; Kleijn, Richard; Ravazzolo, Francesco; van Dijk, Herman K.; Verbeek, Marno (Working Papers;10/2009, Working paper, 2009)
      Several Bayesian model combination schemes, including some novel approaches that simultaneously allow for parameter uncertainty, model uncertainty and robust time varying model weights, are compared in terms of forecast ...

    • Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies 

      Basturk, Nalan; Borowska, Agnieszka; Grassi, Stefano; Hoogerheide, Lennart; van Dijk, Herman K. (Working Paper;10/2018, Working paper, 2018)
      A dynamic asset-allocation model is specified in probabilistic terms as a combination of return distributions resulting from multiple pairs of dynamic models and portfolio strategies based on momentum patterns in US industry ...

    • Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance 

      Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; van Dijk, Herman K. (Working Paper;7/2019, Working paper, 2019)
      A flexible forecast density combination approach is introduced that can deal with large data sets. It extends the mixture of experts approach by allowing for model set incompleteness and dynamic learning of combination ...

    • Interactions Between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model 

      Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K. (Working Papers;20/2013, Working paper, 2013)
      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 ...

    • Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox 

      Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; van Dijk, Herman K. (Working Papers;11/2014, Working paper, 2014)
      This paper presents the MATLAB package DeCo (density combination) which is based on the paper by Billio, Casarin, Ravazzolo, and van Dijk (2013) where a constructive Bayesian approach is presented for combining predictive ...

    • Partially Censored Posterior for robust and efficient risk evaluation 

      Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan; van Dijk, Herman K. (Working Paper;12/2019, Working paper, 2019)
      A novel approach to inference for a specific region of the predictive distribution is introduced. An important domain of application is accurate prediction of financial risk measures, where the area of interest is the left ...

    • Quantifying time-varying forecast uncertainty and risk for the real price of oil 

      Aastveit, Knut Are; Cross, Jamie L.; van Dijk, Herman K. (Working Paper;3/2021, Working paper, 2021)
      We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil using a combination of probabilistic individual model forecasts. Our combination method extends earlier ...

    • The R Package Mitisem: Efficient and Robust Simulation Procedures for Bayesian Inference 

      Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K. (Working Papers;10/2017, Working paper, 2017)
      This paper presents the R package MitISEM (mixture of t by importance sampling weighted expectation maximization) which provides an automatic and flexible two-stage method to approximate a non-elliptical target density ...