Predictive Macro-Finance With Dynamic Partition Models
نویسندگان
چکیده
منابع مشابه
Predictive Macro-Finance With Dynamic Partition Models
Dynamic partition models are used to predict movements in the term structure of interest rates. This allows one to understand historic cycles in the performance of how interest rates behave, and to offer policy makers guidance regarding future expectations on their evolution. Our approach allows for a random number of possible change points in the term structure of interest rates. We use partic...
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Macro-finance addresses the link between asset prices and economic fluctuations. Many models reflect the same rough idea: the market’s ability to bear risk varies over time, larger in good times, and less in bad times. Models achieve this similar result by quite different mechanisms, and I contrast their strengths and weaknesses. I outline how macro-finance models may illuminate macroeconomics,...
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We present a new approach for learning compact and intuitive distributed representations with binary encoding. Rather than summing up expert votes as in products of experts, we employ for each variable the opinion of the most reliable expert. Data points are hence explained through a partitioning of the variables into expert supports. The partitions are dynamically adapted based on which expert...
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ژورنال
عنوان ژورنال: Journal of the American Statistical Association
سال: 2011
ISSN: 0162-1459,1537-274X
DOI: 10.1198/jasa.2011.ap09732