Search Results - subject:"Temporal Aggregation"

Vector Autoregression with Mixed Frequency Data

Qian, Hang - Volkswirtschaftliche Fakultät, … - 2013

Three new approaches are proposed to handle mixed frequency Vector Autoregression. The first is an explicit solution to the likelihood and posterior distribution. The second is a parsimonious, time-invariant and invertible state space form. The third is a parallel Gibbs sampler without forward...

Persistent link: https://www.econbiz.de/10011113864

Temporal Aggregation and Systematic Sampling Effects on Non Linear Granger Causality Tests between Trade Volume and Returns. Some Monte Carlo and Empirical Results from the Athens...

Tserkezos, Dikaios - Department of Economics, University of Crete - 2013

temporal aggregation and systematic sampling using some well known linear and nonlinear Granger causality tests. The conducted …

Persistent link: https://www.econbiz.de/10010815151

Mixed frequency structural models: estimation, and policy analysis

Foroni, Claudia; Marcellino, Massimiliano - Norges Bank - 2013

frequency data, combined with a proper estimation approach, can alleviate the temporal aggregation bias, mitigate the …

Persistent link: https://www.econbiz.de/10010787755

Electoral cycles in international reserves: Evidence from Latin America and the OECD

Streb, Jorge M.; Lema, Daniel; Garofalo, Pablo - Universidad del CEMA - 2013

In Latin America there is ample evidence of exchange rate depreciations after elections. Hence, we turn to the behavior of international reserves over the 1980–2005 period to investigate if exchange rates are temporarily stabilized before elections. Using annual, quarterly, and monthly data to...

Persistent link: https://www.econbiz.de/10010839396

Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series

Miller, J. Isaac; Ghysels, Eric - Economics Department, University of Missouri - 2013

We examine the effects of mixed sampling frequencies and temporal aggregation on standard tests for cointegration …

Persistent link: https://www.econbiz.de/10010933596

Electoral cycles in international reserves : evidence from Latin America and the OECD

Streb, Jorge M.; Lema, Daniel; Garofalo, Pablo - 2013

Persistent link: https://www.econbiz.de/10010211372

Using low frequency information for predicting high frequency variables

Foroni, Claudia; Guérin, Pierre; Marcellino, Massimiliano - In: International journal of forecasting 34 (2018) 4, pp. 774-787

Persistent link: https://www.econbiz.de/10012031105

Labour market matching – the case of Poland

Gałecka-Burdziak, Ewa - In: Bank i Kredyt 43 (2012) 3, pp. 31-46

matching function, also handling the bias resulting from data temporal aggregation. Such problem arises when discrete time data …

Persistent link: https://www.econbiz.de/10010576077

Construction of real estate price indices for developing housing markets : Does temporal aggregation matter?

Owusu-Ansah, Anthony; Adolwine, William Mark; Yeboah, Eric - In: International Journal of Housing Markets and Analysis 10 (2017) 3, pp. 371-383

Purpose The purpose of this paper is to test whether temporal aggregation matters when constructing hedonic house price … aggregation effect. Findings The results show that temporal aggregation may not be a serious issue when constructing hedonic house … volatilities reveal that indices constructed at the lower level of temporal aggregation are very volatile, suggesting that the …

Persistent link: https://www.econbiz.de/10014778075

Does higher-frequency data always help to predict longer-horizon volatility?

Charoenwong, Ben; Feng, Guanhao - In: Journal of risk 19 (2017) 5, pp. 55-75

Persistent link: https://www.econbiz.de/10011747111