Search Results - subject:"Forecast error variance"

Spillover effects across credit spreads in Korean bond market

Lee, Hangyong; Lee, Sang-heon - In: Journal of economic research 20 (2015) 1, pp. 21-38

Persistent link: https://www.econbiz.de/10011296826

An empirical investigation on the impact of marketing communication expenditure on firms' profitability : evidence from India

Banerjee, Neelotpaul; Siddhanta, Somroop - In: Global business review 16 (2015) 4, pp. 609-622

Persistent link: https://www.econbiz.de/10011409493

Central and Eastern European stock exchanges under stress : a range-based volatility spillover framework

Demiralay, Sercan; Bayraci, Selçuk - In: Finance a úvěr 65 (2015) 5, pp. 411-430

Persistent link: https://www.econbiz.de/10011347940

Major agricultural trade volume in Ethiopia : trade balance and exchange rate relations a structural break analysis (using stability chow test, CUSUM and CUSUM squared residuals)

Gebeyehu, AB - In: Inventi impact: international trade (2015) 4, pp. 207-216

Persistent link: https://www.econbiz.de/10011456070

A Critical Note on the Forecast Error Variance Decomposition

Seymen, Atilim - 2008

The paper questions the reasonability of using forecast error variance decompositions for assessing the role of … different structural shocks in business cycle fluctuations. It is shown that the forecast error variance decomposition is … the problems related to the forecast error variance decomposition. …

Persistent link: https://www.econbiz.de/10010298076

A Critical Note on the Forecast Error Variance Decomposition

Seymen, Atilim - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2008

Persistent link: https://www.econbiz.de/10005097587

Chronicle of a War Foretold: The Macroeconomic Effects of Anticipated Defense Spending Shocks

Ben Zeev, Nadav; Pappa, Evi - C.E.P.R. Discussion Papers - 2014

We identify US defense news shocks as shocks that best explain future movements in defense spending over a five-year horizon and are orthogonal to current defense spending. Our identified shocks are strongly correlated with the Ramey (2011) news shocks, but explain a larger share of...

Persistent link: https://www.econbiz.de/10011083922

Efficient estimation of forecast uncertainty based on recent forecast errors

Knüppel, Malte - In: International Journal of Forecasting 30 (2014) 2, pp. 257-267

Multi-step-ahead forecasts of the forecast uncertainty of an individual forecaster are often based on the horizon-specific sample means of his recent squared forecast errors, where the number of past forecast errors available decreases one-to-one with the forecast horizon. In this paper, the...

Persistent link: https://www.econbiz.de/10011051479

The impact of promotional mix on profit in the B2B sector

Siddhanta, Somroop; Banerjee, Neelotpaul - In: Marketing Intelligence & Planning 32 (2014) 5, pp. 600-615

impulse response function (IRF) and forecast error variance decomposition (FEVD) were also studied to see the time path and …

Persistent link: https://www.econbiz.de/10014947184

Possible effects of the stock market movements on interest rates, output and inflation: empirical evidence from the emerging markets of Europe

Ozcelebi, Oguzhan - In: Global Business and Economics Review 16 (2014) 2, pp. 179-201

(IRFs) and forecast error variance decompositions (FEVDs) are used for determining the effects of stock prices on money …

Persistent link: https://www.econbiz.de/10010756253