Blar i Arbeidsnotater / Working Papers på forfatter "Hoogerheide, Lennart"

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    • 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, ...

    • 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 ...

    • 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 ...

    • 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 ...