Essays about: "Måns Unosson"
Found 2 essays containing the words Måns Unosson.
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1. A Mixed Frequency Steady-State Bayesian Vector Autoregression: Forecasting the Macroeconomy
University essay from Uppsala universitet/Statistiska institutionenAbstract : This thesis suggests a Bayesian vector autoregressive (VAR) model which allows for explicit parametrization of the unconditional mean for data measured at different frequencies, without the need to aggregate data to the lowest common frequency. Using a normal prior for the steady-state and a normal-inverse Wishart prior for the dynamics and error covariance, a Gibbs sampler is proposed to sample the posterior distribution. READ MORE
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2. A Comparison of GARCH-class Models and MIDAS Regression with Applications in Volatility Prediction and Value at Risk Estimation
University essay from Uppsala universitet/Statistiska institutionenAbstract : We use GARCH(1,1), EGARCH and MIDAS regression to forecast weekly and monthly conditional variance of the OMXS30 equity index and USD/SEK exchange rate. Forecasts are compared with realized volatility and accuracy is evaluated using a Quasi-likelihood loss function and Diebold Mariano test. READ MORE
