Central bank research hub - Papers by Mattias Villani
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Research hub papers by author Mattias VillanienDynamic mixture-of-experts models for longitudinal and discrete-time survival data
http://www.riksbank.se/Documents/Rapporter/Working_papers/2013/rap_wp268_130613.pdf
Sveriges Riksbank Working Papers by Matias Quiroz and Mattias VillaniDynamic mixture-of-experts models for longitudinal and discrete-time survival data2013-07-24T17:38:00ZWe propose a general class of flexible models for longitudinal data with special emphasis on discrete-time survival data. The model is a finite mixture model where the subjects are allowed to move between components through time. The time-varying probability of component memberships is modeled as a function of subject-specific time-varying covariates. This allows for interesting within-subject dynamics and manageable computations even with a large number of subjects. Each parameter in the component densities and in the mixing function is connected to its own set of covariates through a link function. The models are estimated using a Bayesian approach via a highly efficient Markov Chain Monte Carlo (MCMC) algorithm with tailored proposals and variable selection in all set of covariates. The focus of the paper is on models for discrete-time survival data with an application to bankruptcy prediction for Swedish firms, using both exponential and Weibull mixture components. The dynamic mixture-of-experts models are shown to have an interesting interpretation and to dramatically improve the out-of-sample predictive density forecasts compared to models with time-invariant mixture probabilities.Dynamic mixture-of-experts models for longitudinal and discrete-time survival dataAbstracthttp://www.riksbank.se/en/Press-and-published/Published-from-the-Riksbank/Other-reports/Working-Paper-Series/2013/No-268-Dynamic-mixture-of-experts-models-for-longitudinal-and-discrete-time-survival-data/Full texthttp://www.riksbank.se/Documents/Rapporter/Working_papers/2013/rap_wp268_130613.pdfMatias QuirozMattias VillaniMatias Quiroz and Mattias Villani2013-06-13Sveriges Riksbank Working PapersTaking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios
http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2011/wp256.pdf
Sveriges Riksbank Working Papers by Paolo Giordani, Tor Jacobson, Erik von Schedvin and Mattias VillaniTaking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios2011-11-28T17:38:59ZWe demonstrate improvements in predictive power when introducing spline functions to take account of highly non-linear relationships between firm failure and earnings, leverage, and liquidity in a logistic bankruptcy model. Our results show that modeling excessive non-linearities yields substantially improved bankruptcy predictions, on the order of 70 to 90 percent, compared with a standard logistic model. The spline model provides several important and surprising insights into non-monotonic bankruptcy relationships. We find that low-leveraged and highly profitable firms are riskier than given by a standard model. These features are remarkably stable over time, suggesting that they are of a structural nature.Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial RatiosAbstracthttp://www.riksbank.com/templates/Page.aspx?id=51243Full texthttp://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2011/wp256.pdfPaolo GiordaniTor JacobsonErik von SchedvinMattias VillaniPaolo Giordani, Tor Jacobson, Erik von Schedvin and Mattias Villani2011-11-28Sveriges Riksbank Working PapersModeling Conditional Densities Using Finite Smooth Mixtures
http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2010/wp245.pdf
Sveriges Riksbank Working Papers by Feng Li, Mattias Villani and Robert KohnModeling Conditional Densities Using Finite Smooth Mixtures2010-09-29T17:38:59ZSmooth mixtures, i.e. mixture models with covariate-dependent mixing weights, are very useful flexible models for conditional densities. Previous work shows that using too simple mixture components for modeling heteroscedastic and/or heavy tailed data can give a poor fit, even with a large number of components. This paper explores how well a smooth mixture of symmetric components can capture skewed data. Simulations and applications on real data show that including covariate-dependent skewness in the components can lead to substantially improved performance on skewed data, often using a much smaller number of components. Furthermore, variable selection is effective in removing unnecessary covariates in the skewness, which means that there is little loss in allowing for skewness in the components when the data are actually symmetric. We also introduce smooth mixtures of gamma and log-normal components to model positively-valued response variables.Modeling Conditional Densities Using Finite Smooth MixturesAbstracthttp://www.riksbank.com/templates/Page.aspx?id=45006Full texthttp://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2010/wp245.pdfRobert KohnFeng LiMattias VillaniFeng Li, Mattias Villani and Robert Kohn2010-09-29Sveriges Riksbank Working PapersBayesian Inference in Structural Second-Price common Value Auctions
http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2010/wp242.pdf
Sveriges Riksbank Working Papers by Bertil Wegmann and Mattias VillaniBayesian Inference in Structural Second-Price common Value Auctions2010-06-18T17:44:00ZStructural econometric auction models with explicit game-theoretic modeling of bidding strategies have been quite a challenge from a methodological perspective, especially within the common value framework. We develop a Bayesian analysis of the hierarchical Gaussian common value model with stochastic entry introduced by Bajari and Hortaçsu (2003). A key component of our approach is an accurate and easily interpretable analytical approximation of the equilibrium bid function, resulting in a fast and numerically stable evaluation of the likelihood function. The analysis is also extended to situations with positive valuations using a hierarchical Gamma model. We use a Bayesian variable selection algorithm that simultaneously samples the posterior distribution of the model parameters and does inference on the choice of covariates. The methodology is applied to simulated data and to a carefully collected dataset from eBay with bids and covariates from 1000 coin auctions. It is demonstrated that the Bayesian algorithm is very efficient and that the approximation error in the bid function has virtually no effect on the model inference. Both models fit the data well, but the Gaussian model outperforms the Gamma model in an out-of-sample forecasting evaluation of auction prices.Bayesian Inference in Structural Second-Price common Value AuctionsAbstracthttp://www.riksbank.com/templates/Page.aspx?id=44014Full texthttp://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2010/wp242.pdfBertil WegmannMattias VillaniBertil Wegmann and Mattias Villani2010-04-29Sveriges Riksbank Working PapersFlexible Modeling of Conditional Distributions Using Smooth Mixtures of Asymmetric Student T Densities
http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2009/wp233.pdf
Sveriges Riksbank Working Papers by Feng Li, Mattias Villani and Robert KohnFlexible Modeling of Conditional Distributions Using Smooth Mixtures of Asymmetric Student T Densities2009-11-09T12:39:59ZA general model is proposed for flexibly estimating the density of a continuous response variable conditional on a possibly high-dimensional set of covariates. The model is a finite mixture of asymmetric student-t densities with covariate dependent mixture weights. The four parameters of the components, the mean, degrees of freedom, scale and skewness, are all modelled as functions of the covariates. Inference is Bayesian and the computation is carried out using Markov chain Monte Carlo simulation. To enable model parsimony, a variable selection prior is used in each set of covariates and among the covariates in the mixing weights. The model is used to analyse the distribution of daily stock market returns, and shown to more accurately forecast the distribution of returns than other widely used models for financial data.Flexible Modeling of Conditional Distributions Using Smooth Mixtures of Asymmetric Student T DensitiesAbstracthttp://www.riksbank.com/templates/Page.aspx?id=42499Full texthttp://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2009/wp233.pdfRobert KohnFeng LiMattias VillaniFeng Li, Mattias Villani and Robert Kohn2009-11-09Sveriges Riksbank Working PapersForecasting Macroeconomic Time Series With Locally Adaptive Signal Extraction
http://www.riksbank.com/templates/Page.aspx?id=42500
Sveriges Riksbank Working Papers by Paolo Giordani and Mattias VillaniForecasting Macroeconomic Time Series With Locally Adaptive Signal Extraction2009-11-09T12:39:59Zby Paolo Giordani and Mattias VillaniForecasting Macroeconomic Time Series With Locally Adaptive Signal ExtractionAbstracthttp://www.riksbank.com/templates/Page.aspx?id=42500Paolo GiordaniMattias VillaniPaolo Giordani and Mattias Villani2009-11-09Sveriges Riksbank Working PapersModern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks
http://www.ijcb.org/journal/ijcb07q4a4.pdf
IJCB International Journal of Central Banking by Malin Adolfson, Michael K. Andersson, Jesper Lindé, Mattias Villani and Anders VredinModern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks2007-11-30T12:41:00ZThere are many indications that formal methods are not used to their full potential by central banks today. In this paper, using data from Sweden, we demonstrate how BVAR and DSGE models can be used to shed light on questions that policymakers deal with in practice. We compare the forecast performance of BVAR and DSGE models with the Riksbank's official, more subjective forecasts, both in terms of actual forecasts and root mean-squared errors. We also discuss how to combine model and judgment-based forecasts, and show that the combined forecast performs well out of sample. In addition, we show the advantages of structural analysis and use the models for interpreting the recent development of the inflation rate through historical decompositions. Last, we discuss the monetary transmission mechanism in the models by comparing impulse-response functions.Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central BanksAbstracthttp://www.ijcb.org/journal/ijcb07q4a4.htmFull texthttp://www.ijcb.org/journal/ijcb07q4a4.pdfMattias VillaniMichael K. AnderssonMalin AdolfsonJesper LindéAnders VredinMalin Adolfson, Michael K. Andersson, Jesper Lindé, Mattias Villani and Anders Vredin2007-12IJCB International Journal of Central BankingE37E47E52Nonparametric Regression Density Estimation Using a Mixture of Adaptive Heteroscedastic Experts
http://www.riksbank.se/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2007/wp211.pdf
Sveriges Riksbank Working Papers by Mattias Villani , Robert Kohn and Paolo GiordaniNonparametric Regression Density Estimation Using a Mixture of Adaptive Heteroscedastic Experts2007-10-04T17:38:00ZNonparametric Regression Density Estimation Using a Mixture of Adaptive Heteroscedastic ExpertsAbstracthttp://www.riksbank.se/templates/Page.aspx?id=25843Full texthttp://www.riksbank.se/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2007/wp211.pdfRobert KohnPaolo GiordaniMattias VillaniMattias Villani , Robert Kohn and Paolo Giordani2007-10-04Sveriges Riksbank Working PapersEvaluating An Estimated New Keynesian Small Open Economy Model
http://www.riksbank.se/upload/Dokument_riksbank/Kat_foa/2007/wp_203.pdf
Sveriges Riksbank Working Papers by Malin Adolfson , Stefan Laséen , Jesper Lindé and Mattias VillaniEvaluating An Estimated New Keynesian Small Open Economy Model2007-03-01T12:00:00ZEvaluating An Estimated New Keynesian Small Open Economy ModelAbstracthttp://www.riksbank.se/templates/Page.aspx?id=23816Full texthttp://www.riksbank.se/upload/Dokument_riksbank/Kat_foa/2007/wp_203.pdfJesper LindéStefan LaséenMalin AdolfsonMattias VillaniMalin Adolfson , Stefan Laséen , Jesper Lindé and Mattias Villani2007-02-08Sveriges Riksbank Working PapersC11C53E17Bayesian Inference of General Linear Restrictions on the Cointegration Space
http://www.riksbank.se/upload/WorkingPapers/WP_189.pdf
Sveriges Riksbank Working Papers by Mattias VillaniBayesian Inference of General Linear Restrictions on the Cointegration Space2005-10-01T12:00:00ZBayesian Inference of General Linear Restrictions on the Cointegration SpaceAbstracthttp://www.riksbank.se/templates/Page.aspx?id=17887Full texthttp://www.riksbank.se/upload/WorkingPapers/WP_189.pdfMattias VillaniMattias Villani2005-09-30Sveriges Riksbank Working PapersC11C12Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model
http://www.riksbank.se/upload/WorkingPapers/WP_190.pdf
Sveriges Riksbank Working Papers by Malin Adolfson , Jesper Lindé and Mattias VillaniForecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model2005-10-01T12:00:00ZForecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium ModelAbstracthttp://www.riksbank.se/templates/Page.aspx?id=17888Full texthttp://www.riksbank.se/upload/WorkingPapers/WP_190.pdfJesper LindéMalin AdolfsonMattias VillaniMalin Adolfson , Jesper Lindé and Mattias Villani2005-09-30Sveriges Riksbank Working PapersC11C32E37E47Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks
http://www.riksbank.se/upload/WorkingPapers/WP_188.pdf
Sveriges Riksbank Working Papers by Malin Adolfson , Michael K. Andersson , Jesper Lindé , Mattias Villani and Anders VredinModern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks2005-10-01T12:00:00ZModern Forecasting Models in Action: Improving Macroeconomic Analyses at Central BanksAbstracthttp://www.riksbank.se/templates/Page.aspx?id=17886Full texthttp://www.riksbank.se/upload/WorkingPapers/WP_188.pdfMichael K. AnderssonAnders VredinJesper LindéMalin AdolfsonMattias VillaniMalin Adolfson , Michael K. Andersson , Jesper Lindé , Mattias Villani and Anders Vredin2005-09-30Sveriges Riksbank Working PapersE37E47E52Inference in Vector Autoregressive Models with an Informative Prior on the Steady State
http://www.riksbank.se/upload/WorkingPapers/WP_181.pdf
Sveriges Riksbank Working Papers by Mattias VillaniInference in Vector Autoregressive Models with an Informative Prior on the Steady State2005-04-01T12:00:00ZInference in Vector Autoregressive Models with an Informative Prior on the Steady StateAbstracthttp://www.riksbank.se/templates/Page.aspx?id=16343Full texthttp://www.riksbank.se/upload/WorkingPapers/WP_181.pdfMattias VillaniMattias Villani2005-03-01Sveriges Riksbank Working PapersC11C32C53E50Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through
http://www.riksbank.se/upload/WorkingPapers/WP_179.pdf
Sveriges Riksbank Working Papers by Malin Adolfson , Stefan Laséen , Jesper Lindé and Mattias VillaniBayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through2005-04-01T12:00:00ZBayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-ThroughAbstracthttp://www.riksbank.se/templates/Page.aspx?id=16114Full texthttp://www.riksbank.se/upload/WorkingPapers/WP_179.pdfJesper LindéStefan LaséenMalin AdolfsonMattias VillaniMalin Adolfson , Stefan Laséen , Jesper Lindé and Mattias Villani2005-03-01Sveriges Riksbank Working PapersC11E40E47E52Are Constant Interest Rate Forecasts Modest Interventions? Evidence from an Estimated Open Economy DSGE Model of the Euro Area
http://www.riksbank.se/upload/WorkingPapers/WP_180.pdf
Sveriges Riksbank Working Papers by Malin Adolfson , Stefan Laséen , Jesper Lindé and Mattias VillaniAre Constant Interest Rate Forecasts Modest Interventions? Evidence from an Estimated Open Economy DSGE Model of the Euro Area2005-04-01T12:00:00ZAre Constant Interest Rate Forecasts Modest Interventions? Evidence from an Estimated Open Economy DSGE Model of the Euro AreaAbstracthttp://www.riksbank.se/templates/Page.aspx?id=16116Full texthttp://www.riksbank.se/upload/WorkingPapers/WP_180.pdfJesper LindéStefan LaséenMalin AdolfsonMattias VillaniMalin Adolfson , Stefan Laséen , Jesper Lindé and Mattias Villani2005-03-01Sveriges Riksbank Working PapersC11C53E47E52The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis
http://www.riksbank.se/upload/WorkingPapers/WP_175.pdf
Sveriges Riksbank Working Papers by Mattias Villani and Rolf LarssonThe Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis2004-12-21T17:32:59ZThe Multivariate Split Normal Distribution and Asymmetric Principal Components AnalysisAbstracthttp://www.riksbank.se/templates/Page.aspx?id=14843Full texthttp://www.riksbank.se/upload/WorkingPapers/WP_175.pdfRolf LarssonMattias VillaniMattias Villani and Rolf Larsson2004-12-01Sveriges Riksbank Working PapersC11A Bayesian Approach to Modelling Graphical Vector Autoregressions
http://www.riksbank.se/upload/WorkingPapers/WP_171.pdf
Sveriges Riksbank Working Papers by Jukka Corander and Mattias VillaniA Bayesian Approach to Modelling Graphical Vector Autoregressions2004-11-02T12:33:00ZA Bayesian Approach to Modelling Graphical Vector AutoregressionsAbstracthttp://www.riksbank.se/templates/Page.aspx?id=14338Full texthttp://www.riksbank.se/upload/WorkingPapers/WP_171.pdfJukka CoranderMattias VillaniJukka Corander and Mattias Villani2004-10-01Sveriges Riksbank Working PapersC11C22C52Bayes Estimators of the Cointegration Space
http://www.riksbank.com/upload/8104/WP_150.pdf
Sveriges Riksbank Working Papers by Mattias VillaniBayes Estimators of the Cointegration Space2004-05-22T07:10:00ZBayes Estimators of the Cointegration SpaceAbstracthttp://www.riksbank.se/templates/Document.aspx?id=8338Full texthttp://www.riksbank.com/upload/8104/WP_150.pdfMattias VillaniMattias Villani2003-09-01Sveriges Riksbank Working PapersC11C13C32Monetary Policy Analysis in a Small Open Economy using Bayesian Cointegrated Structural VARs
http://www.riksbank.se/upload/8381/WP_156.pdf
Sveriges Riksbank Working Papers by Mattias Villani , Anders WarneMonetary Policy Analysis in a Small Open Economy using Bayesian Cointegrated Structural VARs2004-05-22T07:10:00ZMonetary Policy Analysis in a Small Open Economy using Bayesian Cointegrated Structural VARsAbstracthttp://www.riksbank.se/templates/Document.aspx?id=8624Full texthttp://www.riksbank.se/upload/8381/WP_156.pdfAnders WarneMattias VillaniMattias Villani , Anders Warne2003-12-01Sveriges Riksbank Working PapersC11C32E52Monetary policy analysis in a small open economy using Bayesian cointegrated structural VARs
http://www.ecb.int/pub/pdf/scpwps/ecbwp296.pdf
European Central Bank Working papers by Mattias Villani and Anders WarneMonetary policy analysis in a small open economy using Bayesian cointegrated structural VARs2004-04-13T17:32:00ZMonetary policy analysis in a small open economy using Bayesian cointegrated structural VARsECBFull texthttp://www.ecb.int/pub/pdf/scpwps/ecbwp296.pdfAnders WarneMattias VillaniMattias Villani and Anders Warne2003-12European Central Bank Working PapersC32E52