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  1. 2 Przegląd Statystyczny

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  1. 1 2009

  2. 1 2006

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  1. 1 Doszyn M.

  2. 1 Osiewalski J.

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APPLICATION OF GIBBS SAMPLING TO CALCULATION OF DISTRIBUTION OF PROPENSITIES BY MEANS OF ECONOMETRIC MODEL

100%
Doszyn M.
Przegląd Statystyczny
|
2006
|
vol. 53
|
issue 4
36-42
EN
In the article possibilities of using econometric models to obtain propensities were discussed. Propensity to consumption of households containing pensioners and retired people in Poland in the years 1993-2004 was computed by means of the Gibbs sampling. Normal distribution was chosen as 'a priori' distribution of vector of parameter's estimates. Gamma distribution was set as 'a priori' distribution of parameter of precision. It was assumed that these 'a priori' distributions are independent. Empirical results showed that average propensity to consumption of households of pensioners and retired people in analyzed period was high (0,965)
2

NEW HYBRID MODELS OF MULTIVARIATE VOLATILITY (A BAYESIAN PERSPECTIVE)

88%
Osiewalski J.
Przegląd Statystyczny
|
2009
|
vol. 56
|
issue 1
EN
In the case of a large portfolio, the existing models of time-varying multivariate volatility are either too simple from the financial perspective or too complex from the numerical angle. Thus, in the paper a new hybrid class of models for n-variate financial time series is proposed. The hybrid specifications are based on two simple structures: the stochastic discount factor model (SDF) from the MSV class and the scalar BEKK(1,1) model from the MGARCH class. Type I and II hybrid models are defined; both allow for different dynamics of each conditional variance or covariance (like BEKK) and keep just one latent process in the conditional covariance matrix in order to describe outliers (like SDF). For the purpose of Bayesian posterior and predictive analyses, the simulation approach based on Gibbs sampling is proposed and approximations unavoidable in the case of large n are suggested.
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