Search Results - subject:"Rolling estimation"

Predictive inference under model misspecification with an application to assessing the marginal predictive content of money for output

Armah, Nii Ayi; Swanson, Norman R. - 2006

uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with … windows yield better prediction models when prediction periods begin in the 1980s, while rolling estimation windows yield …

Persistent link: https://www.econbiz.de/10010266356

Price discount, inventories and the distortion of WTI benchmark

Kao, Chung-Wei; Wan, Jer-Yuh - In: Energy Economics 34 (2012) 1, pp. 117-124

Applying a rolling estimation to the Hasbrouck information share model, this study investigates the changing status of …

Persistent link: https://www.econbiz.de/10010868747

Price discount, inventories and the distortion of WTI benchmark

Kao, Chung-Wei; Wan, Jer-Yuh - In: Energy economics 34 (2012) 1, pp. 117-124

Persistent link: https://www.econbiz.de/10009616321

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

Greenwood-Nimmo, Matthew; Shin, Youngcheol - Madras School of Economics - 2011

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, pre …

Persistent link: https://www.econbiz.de/10010751374

Options introduction and volatility in the EU ETS

Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - In: Resource and Energy Economics 33 (2011) 4, pp. 855-880

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. The central question we address is: can we identify a potential destabilizing effect of the introduction of options on the...

Persistent link: https://www.econbiz.de/10010576622

Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output

Swanson, Norman R.; Armah, Nii Ayi - Department of Economics, Rutgers University-New Brunswick - 2011

uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with …

Persistent link: https://www.econbiz.de/10009372761

Options introduction and volatility in the EU ETS

Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - Chaire d'Économie du Climat, Université … - 2011

Persistent link: https://www.econbiz.de/10009385714

Options introduction and volatility in the EU ETS

Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2011

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/10010707678

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

Greenwood-Nimmo, Matthew; Shin, Yongcheol - Institut für Makroökonomie und Konjunkturforschung … - 2010

Persistent link: https://www.econbiz.de/10008740520

Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output

Swanson, Norman; Armah, Nii Ayi - Department of Economics, Rutgers University-New Brunswick - 2006

Persistent link: https://www.econbiz.de/10005750215