Search Results - subject:"Rolling estimation"

Shifting Preferences at the Fed: Evidence from Rolling Dynamic Multipliers and Impulse Response Analysis

Greenwood-Nimmo, Matthew; Shin, Yongcheol - 2010

better reflect shifts in the underlying preferences of the monetary policymakers at the Federal Reserve. Such rolling … estimation provides substantial evidence that the inflation and output preferences of the Fed have varied through time …

Persistent link: https://www.econbiz.de/10010460499

Shifting preferences at the fed : evidence from rolling dynamic multipliers and impulse response analysis

Greenwood-Nimmo, Matthew; Shin, Yongcheol - 2010

Persistent link: https://www.econbiz.de/10009306629

Options introduction and volatility in the EU ETS

Chevallier, Julien; Pen, Yannick Le; Sévi, Benoît - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2009

To improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006 after regulatory authorization. The central question we address is: can we identify a potential destabilizing effect of the...

Persistent link: https://www.econbiz.de/10008479209

Options introduction and volatility in the EU ETS

Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2009

Persistent link: https://www.econbiz.de/10010707372

Options Introduction and Volatility in the EU ETS

Chevallier, Julien; Pen, Yannick Le; Sévi, Benoît - HAL - 2009

Persistent link: https://www.econbiz.de/10008794422

The course of realized volatility in the LME non-ferrous metal market

Todorova, Neda - In: Economic modelling 51 (2015), pp. 1-12

Persistent link: https://www.econbiz.de/10011475768

Quantile cointegration in the autoregressive distributed-lag modeling framework

Cho, Jin Seo; Kim, Tae-hwan; Shin, Yongcheol - In: Journal of econometrics 188 (2015) 1, pp. 281-300

Persistent link: https://www.econbiz.de/10011500352

Foreign exchange interventions in emerging market countries: New lessons from Argentina

Brause, Alexander - 2008

contribute to this new .eld of research, by applying rolling estimation frameworks with the purpose to capture changing …

Persistent link: https://www.econbiz.de/10010300836

Foreign exchange interventions in emerging market countries: New lessons from Argentina

Brause, Alexander - Wirtschaftswissenschaftliche Fakultät, Bayerische … - 2008

contribute to this new .eld of research, by applying rolling estimation frameworks with the purpose to capture changing …

Persistent link: https://www.econbiz.de/10009226077

Quantile Cointegration in the Autoregressive Distributed-Lag Modelling Framework

CHO, JIN SEO; KIM, TAE-HWAN; SHIN, YONGCHEOL - Economic Research Institute, College of Business and … - 2014

Xiao (2009) develops a novel estimation technique for quantile cointegrated time series by extending Phillips and Hansen¡¯s (1990) semiparametric approach and Saikkonen¡¯s (1991) parametrically augmented approach. This paper extends Pesaran and Shin¡¯s (1998) autoregressive distributed-lag...

Persistent link: https://www.econbiz.de/10011191555