Bayesian Macro-Economics Modelling with MATLAB
PRMIA Poland presents Bayesian Macro-Econometrics Modelling with MATLAB.
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Speaker
Date:
June 4, 2019
Time:
6:00pm - 7:30pm
Location:
Credit Suisse Warsaw Office
Pereca 1
Warsaw 00-849
In recent years, Econometricians have become increasingly interested in Bayesian analysis. This is not surprising because researchers often have some prior knowledge about parameters of interest, and this can be incorporated when using a Bayesian estimation approach. In addition, Bayesian analysis provides a more natural interpretation of results in terms of probabilities. In this technical seminar, Gyang will introduce some basic concepts in Bayesian analysis and will focus on how to perform Bayesian Macro-Econometrics Modelling with MATLAB, including:
- Introduction to Bayesian Inference
- Bayesian estimation of DSGE models
- Bayesian analysis of Vector Autoregressions
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Speaker |
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Guangyuan Yang, MathWorks, Senior Application Engineer, Cambridge, UK
Guangyuan advises customers in financial services industry to apply MATLAB tools to develop and deploy econometrics and risk analytics applications. He has an econometrics background and is a certified Financial Risk Manager (FRM) with 4 years of experience in risk management. He graduated in Economics with Bachelor’s and Master’s degrees at University of Amsterdam and Tinbergen Institute, and did a PhD in Econometrics and Management Science at Erasmus University Rotterdam.
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