Application of Bayesian Vector Autoregressive Model in Regional Economic Forecast

an application of equilibrium model for crude oil tanker ships insurance futures in iran

با توجه به تحریم های بین المملی علیه صنعت بیمه ایران امکان استفاده از بازارهای بین المملی بیمه ای برای نفتکش های ایرانی وجود ندارد. از طرفی از آنجایی که یکی از نوآوری های اخیر استفاده از بازارهای مالی به منظور ریسک های فاجعه آمیز می باشد. از اینرو در این پایان نامه سعی شده است با استفاده از این نوآوری ها با طراحی اوراق اختیارات راهی نو جهت بیمه گردن نفت کش های ایرانی ارائه نمود. از آنجایی که بر...

Bayesian Model Selectionof Autoregressive

This paper poses the problem of model order determination of an autoregressive (AR) pro ess within a Bayesian framework. Several original hierar hi al prior models are proposed that allow for the stability of the model to be enfor ed and a ount for a possible unknown initial state. Obtaining the posterior model order probabilities requires integration of the resulting posterior distribution, an...

Bayesian Estimates for Vector - Autoregressive Models

This paper examines frequentist risks of Bayesian estimates of VAR regression coefficient and error covariance matrices under competing loss functions, under a variety of non-informative priors, and in the normal and Student-t models. Simulation results show that for the regression coefficient matrix an asymmetric LINEX estimator does better overall than the posterior mean. For the error covari...

Bayesian averaging of classical estimates in asymmetric vector autoregressive models

Comparison of Neural Network Models, Vector Auto Regression (VAR), Bayesian Vector-Autoregressive (BVAR), Generalized Auto Regressive Conditional Heteroskedasticity (GARCH) Process and Time Series in Forecasting Inflation in ‎Iran‎

‎This paper has two aims. The first is forecasting inflation in Iran using Macroeconomic variables data in Iran (Inflation rate, liquidity, GDP, prices of imported goods and exchange rates) , and the second is comparing the performance of forecasting vector auto regression (VAR), Bayesian Vector-Autoregressive (BVAR), GARCH, time series and neural network models by which Iran's inflation is for...