The standard vector error correction (VEC) model assumes the iid normal distribution of disturbance term in the model. This paper extends this assumption to include GARCH process. We call this model as VEC-GARCH model. However as the number of parameters in a VEC-GARCH model is large, the...

The paper attempts to verify whether equity returns of individual firms, and their realized volatilities, improve the in-sample and out-of-sample predictability of the US business cycle, as measured by the IP index VAR analysis and tests for forecasting ability The equity returns of individual...

Establishing a full-fledged input-output tables and carry out various impact and alternative scenarios for socio-economic development of the economy. The modelling approach is based on input-output techniques and methodologies to measure the impact of various policy and scenario alternatives,...

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This research forecasts the sales of an innovative agro-industrial product, the feta cheese from buffalo milk, in Thailand using limited information from January 2000 to August 2012. It aims to find how much data sufficiently needed for the prediction of accurate sales concerning that newly...

Renewable energy deployment is growing rapidly on a global scale. China, Germany, Japan and the US are among the countries with highest capacity of renewables installed. In Germany, for example, the large growth in renewable power generation (RPG) capacities in the past has been mainly due to...

In this paper we build and estimate a two-region DSGE model of a small open economy within the European Monetary Union. We evaluate the properties of the estimated model and assess its forecasting performance (point and density) relative to reduced form models such as VARs. In addition, we study...

This paper presents a comparative study of the forecasting performance of the most widely used ARIMA modelling and seasonal adjustment programs: TRAMO/SEATS (TSW) and X13-ARIMA, which are the most important software alternatives for automatically modelling economic time series. The newest...

To investigate to what extent adding financial frictions can contribute to an improvement in the quality of DSGE model-based forecasts DSGE models with and without financial frictions. Comparison of point and density forecasts. The main finding is that accounting for financial frictions...

Economic development, structure of economy, natural and labour resources, infrastructure and transport-transit opportunities of Azerbaijan, Kazakhstan and Kyrgyz Republic that have been independent for 20 years since collapse of the Soviet Union are quite diverse. Azerbaijan and Kazakhstan have...