Essec\Faculty\Model\Contribution {#2233 ▼
#_index: "academ_contributions"
#_id: "11158"
#_source: array:26 [
"id" => "11158"
"slug" => "bayesian-estimation-of-long-run-risk-models-using-sequential-monte-carlo"
"yearMonth" => "2022-05"
"year" => "2022"
"title" => "Bayesian Estimation of Long-Run Risk Models Using Sequential Monte Carlo"
"description" => "FULOP, A., HENG, J., LI, J. et LIU, H. (2022). Bayesian Estimation of Long-Run Risk Models Using Sequential Monte Carlo. <i>Journal of Econometrics</i>, 228(1), pp. 62-84. FULOP, A., HENG, J., LI, J. et LIU, H. (2022). Bayesian Estimation of Long-Run Risk Models Using Seq "
"authors" => array:4 [
0 => array:3 [
"name" => "FULOP Andras"
"bid" => "B00072302"
"slug" => "fulop-andras"
]
1 => array:3 [
"name" => "HENG Jeremy"
"bid" => "B00760223"
"slug" => "heng-jeremy"
]
2 => array:1 [
"name" => "LI Junye"
]
3 => array:1 [
"name" => "LIU Hening"
]
]
"ouvrage" => ""
"keywords" => array:7 [
0 => "Asset Pricing"
1 => "Long-Run Risk"
2 => "Autoregressive Gamma Process"
3 => "Log-linearization"
4 => "Projection Methods"
5 => "Particle Filters"
6 => "Sequential Monte Carlo Sampler"
]
"updatedAt" => "2023-07-10 17:16:50"
"publicationUrl" => "https://www.sciencedirect.com/science/article/pii/S0304407621000531"
"publicationInfo" => array:3 [
"pages" => "62-84"
"volume" => "228"
"number" => "1"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We propose a likelihood-based Bayesian method that exploits up-to-date sequential Monte Carlo methods to efficiently estimate long-run risk models in which the conditional variance of consumption growth follows either an autoregressive (AR) process or an autoregressive gamma (ARG) process. We use the U.S. quarterly consumption and asset returns data from the postwar period to implement estimation. Our findings are: (1) informative priors on the preference parameters can help to improve model performance; (2) expected consumption growth has a very persistent component, whereas consumption volatility is less persistent; (3) while the ARG-based model performs better than the AR-based one statistically, the latter could fit asset returns better; and (4) the solution method matters more for estimation in the AR-based model than in the ARG-based model. We propose a likelihood-based Bayesian method that exploits up-to-date sequential Monte Carlo method "
"en" => "We propose a likelihood-based Bayesian method that exploits up-to-date sequential Monte Carlo methods to efficiently estimate long-run risk models in which the conditional variance of consumption growth follows either an autoregressive (AR) process or an autoregressive gamma (ARG) process. We use the U.S. quarterly consumption and asset returns data from the postwar period to implement estimation. Our findings are: (1) informative priors on the preference parameters can help to improve model performance; (2) expected consumption growth has a very persistent component, whereas consumption volatility is less persistent; (3) while the ARG-based model performs better than the AR-based one statistically, the latter could fit asset returns better; and (4) the solution method matters more for estimation in the AR-based model than in the ARG-based model. We propose a likelihood-based Bayesian method that exploits up-to-date sequential Monte Carlo method "
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2025-01-17T15:21:42.000Z"
"docTitle" => "Bayesian Estimation of Long-Run Risk Models Using Sequential Monte Carlo"
"docSurtitle" => "Articles"
"authorNames" => "<a href="/cv/fulop-andras">FULOP Andras</a>, <a href="/cv/heng-jeremy">HENG Jeremy</a>, LI Junye, LIU Hening <a href="/cv/fulop-andras">FULOP Andras</a>, <a href="/cv/heng-jeremy">HENG Jeremy</a>, LI Junye, LI "
"docDescription" => "<span class="document-property-authors">FULOP Andras, HENG Jeremy, LI Junye, LIU Hening</span><br><span class="document-property-authors_fields">Systèmes d'Information, Data Analytics et Opérations</span> | <span class="document-property-year">2022</span> <span class="document-property-authors">FULOP Andras, HENG Jeremy, LI Junye, LIU Hening</span><br><s "
"keywordList" => "<a href="#">Asset Pricing</a>, <a href="#">Long-Run Risk</a>, <a href="#">Autoregressive Gamma Process</a>, <a href="#">Log-linearization</a>, <a href="#">Projection Methods</a>, <a href="#">Particle Filters</a>, <a href="#">Sequential Monte Carlo Sampler</a> <a href="#">Asset Pricing</a>, <a href="#">Long-Run Risk</a>, <a href="#">Autoregressive Gamma Proce "
"docPreview" => "<b>Bayesian Estimation of Long-Run Risk Models Using Sequential Monte Carlo</b><br><span>2022-05 | Articles </span> <b>Bayesian Estimation of Long-Run Risk Models Using Sequential Monte Carlo</b><br><span>2022-05 | A "
"docType" => "research"
"publicationLink" => "<a href="https://www.sciencedirect.com/science/article/pii/S0304407621000531" target="_blank">Bayesian Estimation of Long-Run Risk Models Using Sequential Monte Carlo</a> <a href="https://www.sciencedirect.com/science/article/pii/S0304407621000531" target="_blank">Bayesi "
]
+lang: "fr"
+"_type": "_doc"
+"_score": 8.455572
+"parent": null
}