ON COMPLEX ECONOMIC SCENARIO GENERATORS: IS LESS MORE?

Autor:	Jean-François Bégin
Rok vydání:	2021
Předmět:	Inflation Economics and Econometrics Computer science media_common.quotation_subject Dividend yield Markov chain Monte Carlo Conservatism Stock market index Term (time) symbols.namesake Accounting Short rate symbols Econometrics Finance media_common Generator (mathematics)
Zdroj:	ASTIN Bulletin. 51:779-812
ISSN:	1783-1350 0515-0361
Popis:	This article proposes a complex economic scenario generator that nests versions of well-known actuarial frameworks. The generator estimation relies on the Bayesian paradigm and accounts for both model and parameter uncertainty via Markov chain Monte Carlo methods. So, to the question is less more?, we answer maybe, but it depends on your criteria. From an in-sample fit perspective, on the one hand, a complex economic scenario generator seems better. From the conservatism, forecasting and coverage perspectives, on the other hand, the situation is less clear: having more complex models for the short rate, term structure and stock index returns is clearly beneficial. However, that is not the case for inflation and the dividend yield.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::8e28d69a982b1e0914b4d45dc9eb0d95 https://doi.org/10.1017/asb.2021.21 Zobrazit plný text záznamu