Marco Taboga
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A Composite Indicator of Sovereign Bond Market Liquidity in the Euro Area Open
We propose a methodology to build and validate a composite indicator of the market liquidity of euro‐area sovereign bonds, with the aim of providing a comprehensive assessment of liquidity conditions in several different trading venues and…
Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models Open
We propose a general method for the Bayesian estimation of a very broad class of non-linear no-arbitrage term-structure models. The main innovation we introduce is a computationally efficient method, based on deep learning techniques, for …
Bayesian Analysis of Coefficient Instability in Dynamic Regressions Open
This paper deals with instability in regression coefficients. We propose a Bayesian regression model with time-varying coefficients (TVC) that allows to jointly estimate the degree of instability and the time-path of the coefficients. Than…
Assessing the risks of asset overvaluation: models and challenges Open
We propose methods to compute confidence bands for the fundamental values of stocks and corporate bonds. These methods take into account uncertainty about future cash flows and about the discount factors used to discount the cash flows. We…