Search Results - subject:"Component Model."

Adjusting for information content when comparing forecast performance

Andersson, Michael K.; Aranki, Ted; Reslow, André - 2016

Cross institutional forecast evaluations may be severely distorted by the fact that forecasts are made at different points in time, and thus with different amount of information. This paper proposes a method to account for these differences. The method computes the timing effect and the...

Persistent link: https://www.econbiz.de/10011535966

A reflective-formative hierarchical component model of perceived authenticity

Nguyen, Thi Hong Hai - In: Journal of hospitality & tourism research : JHTR ; the … 44 (2020) 8, pp. 1211-1234

Persistent link: https://www.econbiz.de/10012308067

The Effects of Sentiment on Market Return and Volatility and The Cross-Sectional Risk Premium of Sentiment-affected Volatility

Yang, Yan; Copeland, Laurence - 2014

-augmented EGARCH component model, we analyse the impacts of sentiment on market excess return, the permanent component of market … bearish sentiment leads to lower excess return. Sentiment-augmented EGARCH component model compares favourably to the original … EGARCH component model which does not take investor sentiment into account. Furthermore, we test the cross-sectional risk …

Persistent link: https://www.econbiz.de/10010504453

On uniqueness of moving average representations of heavy-tailed stationary processes

Gouriéroux, Christian; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2014

We prove the uniqueness of linear i.i.d. representations of heavy-tailed processes whose distribution belongs to the domain of attraction of an $\alpha$-stable law, with $\alpha2$. This shows the possibility to identify nonparametrically both the sequence of two-sided moving average coefficients...

Persistent link: https://www.econbiz.de/10011107938

Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations

Athanasopoulos, George; Poskitt, D.S.; Vahid, Farshid; … - Department of Econometrics and Business Statistics, … - 2014

This article studies a simple, coherent approach for identifying and estimating error correcting vector autoregressive moving average (EC-VARMA) models. Canonical correlation analysis is implemented for both determining the cointegrating rank, using a strongly consistent method, and identifying...

Persistent link: https://www.econbiz.de/10011085533

What Moves the Price-Rent Ratio for Housing? A Modified Present-Value Approach

Kishor, N. Kundan; Morley, James - School of Economics, UNSW Business School - 2014

This paper proposes a modified present-value model that takes into account the fact that movements in the price-rent ratio for housing may not be mean-reverting. Our approach decomposes the price-rent ratio into expected real rent growth, expected housing return and a non-present-value (NPV)...

Persistent link: https://www.econbiz.de/10010765388