Search Results - subject:"Time-varying mean"

A dynamic mean-variance analysis for log returns

Dai, Min; Jin, Hanqing; Kou, Steven; Xu, Yuhong - In: Management science : journal of the Institute for … 67 (2021) 2, pp. 1093-1108

Persistent link: https://www.econbiz.de/10012505370

Robo-advising : a dynamic mean-variance approach

Dai, Min; Jin, Hanqing; Kou, Steven; Xu, Yuhong - In: Digital finance : smart data analytics, investment … 3 (2021) 2, pp. 81-97

Persistent link: https://www.econbiz.de/10012615275

In-Sample Bounds for Time-Varying Parameters of Observation Driven Models

Blasques, Francisco; Koopman, Siem Jan; Lasak, Katarzyna; … - 2015

We study the performance of two analytical methods and one simulation method for computing in-sample confidence bounds for time-varying parameters. These in-sample bounds are designed to reflect parameter uncertainty in the associated filter. They are applicable to the complete class of...

Persistent link: https://www.econbiz.de/10010491409

In-Sample Bounds for Time-Varying Parameters of Observation Driven Models

Blasques, Francisco; Koopman, Siem Jan; Lasak, Katarzyna; … - Tinbergen Instituut - 2015

Persistent link: https://www.econbiz.de/10011256671

In-sample bounds for time-varying parameters of observation driven models

Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - 2015

Persistent link: https://www.econbiz.de/10010484891

Decoding the Australian electricity market : New evidence from three-regime hidden semi-Markov model

Apergēs, Nikolaos; Gozgor, Giray; Lau, Chi Keung; … - In: Energy economics 78 (2019), pp. 129-142

Persistent link: https://www.econbiz.de/10012159895

In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models

Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - In: International journal of forecasting 32 (2016) 3, pp. 875-887

Persistent link: https://www.econbiz.de/10011621857

The Role of Inflation Persistence in the Inflation Process in the New EU Member States

Franta, Michal; Saxa, Branislav; Šmídková, Kateøina - In: Czech Journal of Economics and Finance (Finance a uver) 60 (2010) 6, pp. 480-500

univariate statistical model of inflation with a time-varying mean. The second one assumes that inflation follows a fractionally … time-varying mean is preferable to the ARFIMA model for almost all countries. The estimation results show that inflation …

Persistent link: https://www.econbiz.de/10009324379

Inflation persistence: Is it similar in the new EU member states and the euro area members?

Franta, Michal; Saxa, Branislav; Šmídková, Kateřina - 2008

NMS went through, are applied. We emphasize that a time-varying mean models suggest similar or lower inflation persistence …

Persistent link: https://www.econbiz.de/10010322289

Inflation Persistence: Is It Similar in the New EU Member States and the Euro Area Members?

Franta, Michal; Saxa, Branislav; Smidkova, Katerina - Institut ekonomických studií, Univerzita Karlova v Praze - 2008

NMS went through, are applied. We emphasize that a time-varying mean models suggest similar or lower inflation persistence … NMS went through, are applied. We emphasize that a time-varying mean models suggest similar or lower inflation …. Keywords: inflation persistence, new hybrid Phillips curve, new member states, time-varying mean JEL: E31, C22, C11, C32 …

Persistent link: https://www.econbiz.de/10005673630