Search Results - subject:"Time‐varying parameters"

The power of open-mouth policies

Lepetyuk, Vadym; Maliar, Lilia; Maliar, Serguei; … - 2021

Persistent link: https://www.econbiz.de/10012544215

The evolving impact of global, region-specific, and country-specific uncertainty

Mumtaz, Haroon; Musso, Alberto - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 466-481

Persistent link: https://www.econbiz.de/10012499092

Fiscal regimes and fiscal sustainability in Sri Lanka

Chua, Chew Lian; Perera, Nelson; Suardi, Sandy - In: Applied economics 53 (2021) 21, pp. 2384-2397

Persistent link: https://www.econbiz.de/10012501241

Price dividend ratio and long-run stock returns : a score-driven state space model

Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 1054-1065

Persistent link: https://www.econbiz.de/10012653225

Modeling time-varying parameters using artificial neural networks : a GARCH illustration

Donfack, Morvan Nongni; Dufays, Arnaud - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 5, pp. 311-343

Persistent link: https://www.econbiz.de/10012806535

The impact of economic uncertainty and inflation uncertainty on the Greek economy

Balfoussia, Hiona; Louzis, Dimitrios P. - In: Economic bulletin 53 (2021), pp. 49-67

Persistent link: https://www.econbiz.de/10012802930

Time-varying instrumental variable estimation

Giraitis, Liudas; Kapetanios, George; Marcellino, … - In: Journal of econometrics 224 (2021) 2, pp. 394-415

Persistent link: https://www.econbiz.de/10013275394

Oil prices and economic policy uncertainty : evidence from global, oil importers, and exporters’ perspective

Lin, Boqiang; Bai, Rui - In: Research in international business and finance 56 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10013266121

Time-varying mixed frequency forecasting: A real-time experiment

Neuwirth, Stefan - 2017

This paper tests the usefulness of time-varying parameters when forecasting with mixed-frequency data. For this we … compare the forecast performance of bridge equations and unrestriced MIDAS models with constant and time-varying parameters …. An out-of-sample forecasting exercise with US real-time data shows that the use of time-varying parameters does not …

Persistent link: https://www.econbiz.de/10011705733

Has the Fed Responded to House and Stock Prices? A Time-Varying Analysis

Aastveit, Knut Are; Furlanetto, Francesco; Loria, Francesca - 2017

In this paper we use a structural VAR model with time-varying parameters and stochastic volatility to investigate …

Persistent link: https://www.econbiz.de/10012143900