Abstract Details
Activity Number:
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216
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Type:
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Invited
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Date/Time:
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Monday, August 5, 2013 : 2:00 PM to 3:50 PM
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Sponsor:
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Business and Economic Statistics Section
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Abstract - #307358 |
Title:
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Shrinking Toward Models with Time-Varying Parameters
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Author(s):
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Satadru Hore*+ and Robert E. McCulloch
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Companies:
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Federal Reserve, Boston and The University of Chicago Booth School of Business
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Keywords:
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asset pricing ;
state space models
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Abstract:
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A recent strand of research has interpreted financial models as sources of prior information rather than hard restrictions which must be imposed. In the recent statistics literature, there have been many advances in the estimation of non-linear state-space models. We combine these to areas to develop asset pricing models with time-varying parameters, using financial theory as a source of prior information.
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Authors who are presenting talks have a * after their name.
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