Open msz13 opened 11 months ago
ezegonous variables
usd i eu są modelowane odzielnie ale wtedy za duzo zmiennych dla okresu 2003 -2023
bayesian var https://sciencespo.hal.science/hal-03458277/file/wp2018-18-bayesian-autoregressions-smiranda.pdf https://www.sciencedirect.com/science/article/pii/S0169207022000024#b39
Missing Disinflation and Missing Inflation: A VAR Perspective https://www.ijcb.org/journal/ijcb19q1a5.htm
forecasting with bvar karlson https://www.oru.se/globalassets/oru-sv/institutioner/hh/workingpapers/workingpapers2012/wp-12-2012.pdf
Regime Switching Bayesian Vector Autoagression http://www.actuaries.org/AFIR/colloquia/Cairns/Harris.pdf
PRIORS FOR THE LONG RUN https://faculty.wcas.northwestern.edu/gep575/plr5-1.pdf
Conditional Forecasts in Large Bayesian VARs with Multiple Equality and Inequality Constraints https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4358152
Advanced Time Series https://github.com/Stellenbosch-Econometrics/AdvancedTimeSeries-872?tab=readme-ov-file
A New Identification Strategy for U.S. Monetary Policy Shocks: Estimates Since 1914 (Davis) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4769252
Megatrends and the U.S. economy, 1890-2040 (Davis) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4702028
A BAYESIAN APPROACH TO VECTOR AUTOREGRESSIVE MODEL ESTIMATION AND FORECASTING WITH UNBALANCED DATA SETS https://beri.iliauni.edu.ge/wp-content/uploads/2021/10/A-Bayesian-Approach-to-Vector-Autoregressive-Model-Estimation-and-Forecasting-with-Unbalanced-Data-Sets.pdf
Scenario Generation for IFRS9 Purposes using a Bayesian MS-VAR Model https://www.econstor.eu/bitstream/10419/247377/1/wp2021-10.pdf
ESTIMATING MULTI-COUNTRY VAR MODELS https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp603.pdf
LEARNING ABOUT THE LONG RUN https://www.nber.org/system/files/working_papers/w29495/w29495.pdf
Bayesian workflow https://arxiv.org/pdf/2011.01808
Time Varying Structural Vector Autoregressions and Monetary Policy https://faculty.wcas.northwestern.edu/gep575/tvsvar_final_july_04.pdf
Macroeconomic Forecasting in a Multi-country Context https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4025488
Conditional Forecasts in Large Bayesian VARs with Multiple Equality and Inequality Constraints * https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4358152
Large Time-Varying Parameter VARs https://www.gla.ac.uk/media/Media_224576_smxx.pdf
Steady-State Priors and Bayesian Variable Selection in VAR Forecasting https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4185571
STEADY STATE PRIORS FOR VECTOR AUTOREGRESSIONS https://villani.wordpress.com/wp-content/uploads/2009/08/steadystatepriorvarfinaljae.pdf
Large Vector Autoregressions with Stochastic Volatility and Flexible Priors https://www.clevelandfed.org/publications/working-paper/2016/wp-1617-large-vector-autoregressions-with-stochastic-volatility-and-flexible-priors
Steady-state priors and Bayesian variable selection in VAR forecasting https://www.degruyter.com/document/doi/10.1515/snde-2015-0048/html
Real-Time Density Forecasts from VARs with Stochastic Volatility https://www.kansascityfed.org/documents/5319/pdf-rwp09-08.pdf
A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior (stochastic volality + steady state prior) https://arxiv.org/pdf/1911.09151
Panel Vector autoregressive models https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1507.pdf
Responses to monetary Policy Shocks in the eastern and the Western of Europe https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp970.pdf
The Use of BVARs in the Analysis of Emerging Economies https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3617544
The Role of Domestic and External Shocks in Poland: Results from an Agnostic Estimation Procedure https://www.imf.org/en/Publications/WP/Issues/2016/12/31/The-Role-of-Domestic-and-External-Shocks-in-Poland-Results-from-an-Agnostic-Estimation-41018
Steady-state modeling and macroeconomic forecasting quality https://onlinelibrary.wiley.com/doi/10.1002/jae.2657
ESTIMATING MULTI-COUNTRY VAR MODELS https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp603.pdf
Forecasting Economic and Financial Variables with Global VARs https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1089456
How to estimate a VAR after March 2020 https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2461~fe732949ee.en.pdf
Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models https://arxiv.org/abs/1607.04532
What Drives Long-Term Interest Rates? Evidence from the Entire Swiss Franc History 1852-2020 https://www.researchgate.net/publication/359843140_What_Drives_Long-Term_Interest_Rates_Evidence_from_the_Entire_Swiss_Franc_History_1852-2020
Introducing shrinkage in heavy-tailed state space models to predict equity excess returns https://www.researchgate.net/publication/371135726_Introducing_shrinkage_in_heavy-tailed_state_space_models_to_predict_equity_excess_returns
Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models https://papers.ssrn.com/sol3/papers.cfm?abstract_id=738894
FORECASTING AND POLICY ANALYSIS WITH TREND-CYCLE BAYESIAN VARS https://michalandrle.weebly.com/uploads/1/3/9/2/13921270/tc_vars.pdf
An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns https://papers.ssrn.com/sol3/papers.cfm?abstract_id=582581
Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1533525
A multivariate model of strategic asset allocation - cambel i veira https://scholar.harvard.edu/files/lviceira/files/a_multivariate_model_of_strategic_asset_allocation.pdf
Moments, shocks and spillovers in Markov-switching VAR models - (sotcks, bonds, tbills, dividend yeld) https://www.sciencedirect.com/science/article/pii/S0304407623001902
Strategic Asset Allocation for Long-Term Investors: Parameter Uncertainty and Prior Information https://papers.ssrn.com/sol3/papers.cfm?abstract_id=905003
1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1533537
Are Stocks Really Less Volatile in the Long Run? https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1136847
Prediction and Allocation of Stocks, Bonds, and REITs in the US Market https://link.springer.com/article/10.1007/s10614-024-10589-2
Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence https://www.researchgate.net/publication/24128666_Return_Predictability_and_the_Implied_Intertemporal_Hedging_Demands_for_Stocks_and_Bonds_International_Evidence
Long-Term Investing Under Uncertain Parameter Instability https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4557798
Investing for the Long Run When Returns are Predictable https://papers.ssrn.com/sol3/papers.cfm?abstract_id=185376
Long-Term Strategic Asset Allocation: An Out-of-Sample Evaluation https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1107840
On the Long Run Volatility of Stocks https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2808191
Model uncertainty for long-term investors http://efa2011.efa-meetings.org/fisher.osu.edu/blogs/efa2011/files/MET_2_3.pdf
Forecasting Stock Returns https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4403635
Bond Return Predictability: Economic Value and Links to the Macroeconomy https://rady.ucsd.edu/_files/faculty-research/timmermann/bond_return_predictability_april_2017_final.pdf
Optimal asset allocation with multivariate Bayesian dynamic linear models https://projecteuclid.org/journals/annals-of-applied-statistics/volume-14/issue-1/Optimal-asset-allocation-with-multivariate-Bayesian-dynamic-linear-models/10.1214/19-AOAS1303.full
The Impact of Model Instability on Long-Term Investors https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2480046
Forecasting Stock Market Returns by Summing the Frequency-Decomposed Parts https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2878752
Economic Scenarios for an Asset and Liability Management Study of a Pension Fund https://www.netspar.nl//assets/uploads/038_MA_Cornelis_Slagmolen_2010.pdf
Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model https://colab.ws/articles/10.1016%2Fj.jempfin.2012.01.003
Predictability in International Asset Returns: A Reexamination, https://research.stlouisfed.org/wp/more/1997-010
Real Asset Returns and Components of Inflation: A Structural VAR Analysis https://papers.ssrn.com/sol3/papers.cfm?abstract_id=614763
An intertemporal CAPM with stochastic volatility https://www.sciencedirect.com/science/article/abs/pii/S0304405X18300503#preview-section-cited-by
dummy variable models https://www.egyankosh.ac.in/bitstream/123456789/23446/1/Unit-10.pdf
Predicting international equity returns: Evidence from time-varying parameter vector autoregressive models https://repository.up.ac.za/bitstream/handle/2263/73898/Gupta_Predicting_2020.pdf?sequence=1
Internationl bvar model
inflation pln
inflation usd
inflation eur
real short rate pln
real short rate usd
real short rate eu
real long rate pln
real long rate usd
real long rate pln
us pln stocks price returns – pln short rate
us usd stocks price returns – us short rate
us stocks dividend yeld
acwi ex-us pln stocks price returns – pln short rate
WIG pln stocks price returns – pln short rate
wig stocks dividend yeld
stocks
bond index excess returns
Single country var:
Multicountry
Inny framework
Oszacuj required rate of return na podstawie irr Okresl optimal portfolio na krótki okres, np. 2 lata
POwtartzaj w okresie rebalancingu
Zrob symulacje
Out of sample
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est start | start | end | est lenght | forecast lenght -- | -- | -- | -- | -- 1998 | 2006 | 2023 | 8 | 17 1998 | 2008 | 2023 | 10 | 15 1998 | 2010 | 2023 | 12 | 13 1998 | 2012 | 2023 | 14 | 11 1998 | 2014 | 2023 | 16 | 9 1998 | 2016 | 2023 | 18 | 7 1998 | 2018 | 2023 | 20 | 5
var model:
factors:
usa:
euro area
pln
Assets