Search Results - subject:"Overlapping observations"

On the serial correlation in multi-horizon predictive quantile regression

Xu, Ke-Li - In: Economics letters 200 (2021), pp. 1-4

Persistent link: https://www.econbiz.de/10012606823

Skewness and kurtosis ratio tests: With applications to multiperiod tail risk analysis

Wong, Woon K. - 2016

proposed tests are based on generalized methods of moments. In particular, overlapping observations are used and their …

Persistent link: https://www.econbiz.de/10011787151

Skewness and kurtosis ratio tests : with applications to multiperiod tail risk analysis

Wong, Woon K. - 2016

proposed tests are based on generalized methods of moments. In particular, overlapping observations are used and their …

Persistent link: https://www.econbiz.de/10011688190

A GMM skewness and kurtosis ratio test for higher moment dependence

Wong, Woon K. - In: Journal of financial econometrics 18 (2020) 2, pp. 307-332

Persistent link: https://www.econbiz.de/10012232960

Which Aspects of Central Bank Transparency Matter? Constructing a Weighted Transparency Index

Csávás, Csaba; Erhart, Szilárd; Felcser, Dániel; … - Magyar Nemzeti Bank (MNB) - 2012

In this paper we investigate the effect of central bank transparency on survey forecasts. Similar to Ehrmann et al. (2010), we find that greater transparency can reduce the degree of disagreement across individual forecasters and it can also improve the forecasting performance of survey...

Persistent link: https://www.econbiz.de/10010854256

Which aspects of central bank transparency matter? Constructing a weighted transparency index

Csávás, Csaba; Erhart, Szilárd; Felcser, Dániel; … - 2012

Persistent link: https://www.econbiz.de/10010322442

Exchange Rates and Fundamentals: A New Look at the Evidence on Long-Horizon Predictability

Austin, Adrian; Dutt, Swarna - In: Atlantic Economic Journal 43 (2015) 1, pp. 147-159

overlapping observations creating unintended autocorrelation errors. We use a recently developed econometric technique to …

Persistent link: https://www.econbiz.de/10011241992

Exchange rates and fundamentals : a new look at the evidence on long-horizon predictability

Austin, Adrian; Dutt, Swarna D. - In: Atlantic economic journal : AEJ 43 (2015) 1, pp. 147-159

Persistent link: https://www.econbiz.de/10010517058

Estimation Bias and Inference in Overlapping Autoregressions: Implications for the Target Zone Literature

Darvas, Zsolt - Matematikai Közgazdaságtan és Gazdaságelemzés, … - 2007

Samples with overlapping observations are used for the study of uncovered interest rate parity, the predictability of …

Persistent link: https://www.econbiz.de/10005523134