Browsing Handelshøyskolen BI by Subject "Bayesian Analysis"

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    • A Constrained Dynamic Nelson-Siegel Model for Monetary Policy Analysis 

      Cross, Jamie L.; Poon, Aubrey; Wenying, Yao; Zhu, Dan (CAMP Working Paper Series;06/2024, Working paper, 2024-07-15)
      The Dynamic Nelson-Siegel (DNS) model implies that the instantaneous bond yield is a linear combination of yield curve’s level and slope factors. However, this constraint is not used in practice because it induces a ...

    • Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts 

      Krüger, Fabian; Clark, Todd E.; Ravazzolo, Francesco (CAMP Working Paper Series;8/2015, Working paper, 2015)
      This paper shows entropic tilting to be a flexible and powerful tool for combining mediumterm forecasts from BVARs with short-term forecasts from other sources (nowcasts from either surveys or other models). Tilting ...