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Activity Number: 216
Type: Invited
Date/Time: Monday, August 5, 2013 : 2:00 PM to 3:50 PM
Sponsor: Business and Economic Statistics Section
Abstract - #307358
Title: Shrinking Toward Models with Time-Varying Parameters
Author(s): Satadru Hore*+ and Robert E. McCulloch
Companies: Federal Reserve, Boston and The University of Chicago Booth School of Business
Keywords: asset pricing ; state space models
Abstract:

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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