Search Results - subject:"Forecast error variance"

The relationship between woody biomass consumption and economic growth : nonlinear ARDL and causality

Bildirici, Melike; Ozaksoy, Fulya - In: Journal of forest economics : JFE 27 (2017), pp. 60-69

Persistent link: https://www.econbiz.de/10011802691

Global risk aversion spillover dynamics and investors' attention allocation

Ceylan, Özcan - In: Annals of economics and finance 18 (2017) 1, pp. 99-109

Persistent link: https://www.econbiz.de/10012109974

An Empirical Investigation of US Fiscal Expenditures and Macroeconomic Outcomes

Aksoy, Yunus; Melina, Giovanni - Birkbeck, Department of Economics, Mathematics & Statistics - 2011

the forecast error variance of US inflation than the Federal funds rate. Non-defense federal expenditures are useful in … predicting real output variations and, starting from the early 1980s, present also a larger share of the forecast error variance …

Persistent link: https://www.econbiz.de/10009323073

The Defense-growth nexus: An application for the Israeli-Arab conflict

Abu-Qarn, Aamer - Volkswirtschaftliche Fakultät, … - 2010

This paper revisits the defence-growth nexus for the rivals of the Israeli-Arab conflict over the last four decades. To this end, we utilize the Toda and Yamamoto (1995) causality test and the generalized variance decomposition. Contrary to the conventional wisdom and many earlier studies, we...

Persistent link: https://www.econbiz.de/10008536076

Macroeconomic Fundamentals and Stock Return Dynamics: International Evidence from the Global Finance Area

ABAOUB, Ezzeddine; ARFAOUI, Mongi; SLITI, Hammadi - In: Theoretical and Practical Research in Economic Fields I (2010) 2, pp. 122-122

contribute increasingly to the explanation of the forecast error variance decomposition. Nevertheless, global factors contribute …

Persistent link: https://www.econbiz.de/10009144216

Efficient estimation of forecast uncertainty based on recent forecast errors

Knüppel, Malte - 2009

Multi-step-ahead forecasts of forecast uncertainty in practice are often based on the horizon-specific sample means of recent squared forecast errors, where the number of available past forecast errors decreases one-to-one with the forecast horizon. In this paper, the efficiency gains from the...

Persistent link: https://www.econbiz.de/10010299256

Financial Development and Velocity of Money in Bangladesh: A Vector Auto- Regression Analysis

Akhtaruzzaman, Md. - eSocialSciences - 2009

The study uses co-integration and vector auto-regression (VAR) techniques to identify the determinants of income velocity of money (VM) in Bangladesh, covering both narrow and broad money. The study observes that financial development affects VM negatively. The VAR estimates show that two...

Persistent link: https://www.econbiz.de/10004980013

Efficient estimation of forecast uncertainty based on recent forecast errors

Knüppel, Malte - Deutsche Bundesbank - 2009

Persistent link: https://www.econbiz.de/10008533612

An analysis of sectoral equity and CDS spreads

Narayan, Paresh Kumar - In: Journal of International Financial Markets, … 34 (2015) C, pp. 80-93

In this paper, we find that CDS return shocks are important in explaining the forecast error variance of sectoral …. Finally, we construct a spillover index and find that it is time-varying and explains a larger share of total forecast error … variance of sectoral equity and CDS returns for some sectors than for others. …

Persistent link: https://www.econbiz.de/10011189448

An analysis of sectoral equity and CDS spreads

Narayan, Paresh Kumar - In: Journal of international financial markets, … 34 (2015), pp. 80-93

Persistent link: https://www.econbiz.de/10011474484