Interest rate rules, inflation and the Taylor principle: an analytical exploration
✍ Scribed by Jean-Pascal Bénassy
- Publisher
- Springer
- Year
- 2006
- Tongue
- English
- Weight
- 120 KB
- Volume
- 27
- Category
- Article
- ISSN
- 0938-2259
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
## Abstract This paper investigates whether the forecasting performance of Bayesian autoregressive and vector autoregressive models can be improved by incorporating prior beliefs on the steady state of the time series in the system. Traditional methodology is compared to the new framework—in which
## Analytical Finance The statistical estimation problem of (high) quantiles plays a fundamental role in both insurance and finance. For instance the pricing of Catastrophe Excess of Loss (CAT-XL) covers gives an example of the former, whereas the estimation of Value-at-Risk (VaR) in risk manageme