Search Results - subject:"time‐varying parameter"

Changes in inflation dynamics under inflation targeting? : evidence from Central European countries

Baxa, Jaromír; Plašil, Miroslav; Vašíček, Bořek - In: Economic modelling 44 (2015), pp. 116-130

Persistent link: https://www.econbiz.de/10011326274

Monetary policy in Brazil : evidence of a reaction function with time-varying parameters and endogenous regressors

Aragón, Edilean Kleber da Silva Bejarano; Medeiros, … - In: Empirical economics : a journal of the Institute for … 48 (2015) 2, pp. 557-575

Persistent link: https://www.econbiz.de/10011292283

Time-varying effect of oil market shocks on the stock market

Kang, Wensheng; Ratti, Ronald A.; Yoon, Kyung Hwan - In: Journal of banking & finance 61 (2015) 2, pp. 150-163

Persistent link: https://www.econbiz.de/10011585533

The role of covered interest parity in explaining the forward premium anomaly within a nonlinear panel framework

Cho, Dooyeon - In: Journal of empirical finance 34 (2015), pp. 229-238

Persistent link: https://www.econbiz.de/10011557131

Do stock prices impact consumption and interest rate in South Africa? : evidence from a time-varying vector autoregressive model

Aye, Goodness C.; Gupta, Rangan; Modise, Mampho P. - In: Journal of emerging market finance 14 (2015) 2, pp. 176-196

Persistent link: https://www.econbiz.de/10011378505

Modelling conditional and unconditional heteroskedasticity with smoothly time-varying structure

Amado, Cristina; Teräsvirta, Timo - 2008

regimes over time is smooth. A modelling strategy for these new time-varying parameter GARCH models is developed. It relies on …

Persistent link: https://www.econbiz.de/10010281252

Pricing bivariate option under GARCH processes with time-varying copula.

Zhang, Jing; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008

Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time-varying … parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model …

Persistent link: https://www.econbiz.de/10005510619

Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure

Amado, Cristina; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2008

regimes over time is smooth. A modelling strategy for these new time-varying parameter GARCH models is developed. It relies on …; Structural change; Lagrange multiplier test; Misspeci�cation test; Nonlinear time series; Time-varying parameter model. 2 1 …; i = 1;:::;q; in (4). Both parameterizations (2) and (3) de�ne a time-varying parameter GARCH model. In order to …

Persistent link: https://www.econbiz.de/10005423887

Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure

Amado, Christina; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2008

regimes over time is smooth. A modelling strategy for these new time-varying parameter GARCH models is developed. It relies on …

Persistent link: https://www.econbiz.de/10005440068

Inflation Targeting and Monetary Policy Activism

Sekine, Toshitaka; Teranishi, Yuki - Institute for Monetary and Economic Studies, Bank of Japan - 2008

applying a time- varying parameter with a stochastic-volatility model. We find that activism of inflation-targeting countries …

Persistent link: https://www.econbiz.de/10004978184