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~isPartOf:"Wirtschaftsdienst : Zeitschrift für Wirtschaftspolitik"
~isPartOf:"Tinbergen Institute Discussion Paper"
~subject:"Prognoseverfahren"
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Search: ("Economic crisis" OR "Economic recovery" OR "EU" OR "European Monetary Fund" OR "Monetary policy" OR "Public debt") AND NOT isPartOf:Intereconomics
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1
Individual Expectations and Aggregate Macro Behavior
Assenza, Tiziana
;
Heemeijer, Peter
;
Hommes, Cars
; …
-
2013
effectiveness of
monetary
policy
. We study the individual expectations formation process and the interaction with
monetary
policy
…
monetary
policy
, we find that an interest rate rule that reacts more than point for point to inflation has some stabilizing …
Persistent link: https://www.econbiz.de/10010326142
Saved in:
2
Identifying the Weights in Exchange Market Pressure
Klaassen, Franc
-
2011
Exchange market pressure (EMP) measures the pressure on a currencyto depreciate. It adds to the actual depreciation a weightedcombination of policy instruments used to ward off depreciation,such as interest rates and foreign exchange interventions, where theweights are their effectiveness. The...
Persistent link: https://www.econbiz.de/10010325985
Saved in:
3
From First-Release to Ex-Post Fiscal Data: Exploring the Sources of Revision Errors in the
EU
Beetsma, Roel
;
Bluhm, Benjamin
;
Giuliodori, Massimo
; …
-
2011
This paper explores the determinants of deviations of ex-post budget outcomes from first-release outcomes published towards the end of the year of budget implementation. The predictive content of the first-release outcomes is important, because these figures are an input for the next budget and...
Persistent link: https://www.econbiz.de/10010325661
Saved in:
4
Visualizing the Invisible: Estimating the New Keynesian Output Gap via a Bayesian Approach
Willems, Tim
-
2009
potentially useful for the conduct of
monetary
policy
. …
Persistent link: https://www.econbiz.de/10010325777
Saved in:
5
Systemic Risk Diagnostics
Schwaab, Bernd
;
Lucas, Andre
;
Koopman, Siem Jan
-
2010
-space methods, we model latent macro-financial and credit risk components for a large data setcomprising the U.S., the
EU
-27 area …
Persistent link: https://www.econbiz.de/10010325790
Saved in:
6
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2013
Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the literature has focused on...
Persistent link: https://www.econbiz.de/10010326487
Saved in:
7
Financial Dependence Analysis: Applications of Vine Copulae
Allen, David E.
;
Ashraf, Mohammad A.
;
McAleer, Michael
; …
-
2013
This paper features the application of a novel and recently developed method of statistical and mathematical analysis to the assessment of financial risk: namely Regular Vine copulas. Dependence modeling using copulas is a popular tool in financial applications, but is usually applied to pairs...
Persistent link: https://www.econbiz.de/10010326548
Saved in:
8
Censored Posterior and Predictive Likelihood in Bayesian Left-Tail Prediction for Accurate Value at Risk Estimation
Gatarek, Lukasz
;
Hoogerheide, Lennart
;
Hooning, Koen
; …
-
2013
Accurate prediction of risk measures such as Value at Risk (VaR) and Expected Shortfall (ES) requires precise estimation of the tail of the predictive distribution. Two novel concepts are introduced that offer a specific focus on this part of the predictive density: the censored posterior, a...
Persistent link: https://www.econbiz.de/10010326148
Saved in:
9
Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox
Casarin, Roberto
;
Grassi, Stefano
;
Ravazzolo, Francesco
; …
-
2013
This paper presents the Matlab package DeCo (Density Combination) which is based on the paper by Billio et al. (2013) where a constructive Bayesian approach is presented for combining predictive densities originating from different models or other sources of information. The combination weights...
Persistent link: https://www.econbiz.de/10010326164
Saved in:
10
Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support
Diks, Cees
;
Panchenko, Valentyn
;
Sokolinskiy, Oleg
;
van …
-
2013
This paper develops a testing framework for comparing the predictive accuracy of copula-based multivariate density forecasts, focusing on a specific part of the joint distribution. The test is framed in the context of the Kullback-Leibler Information Criterion, but using (out-of-sample)...
Persistent link: https://www.econbiz.de/10010326216
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