Search Results - subject:"time‐varying parameter"

A two-phase approach to estimating time-varying parameters in the capital asset pricing model

Su, Yih; Hwang, Jing-Shiang - In: Journal of Applied Statistics 36 (2009) 1, pp. 79-89

Following the development of the economy and the diversification of investment, mutual funds are a popular investment tool nowadays. Choosing excellent targets from hundreds of mutual funds has become more and more crucial to investors. The capital asset pricing model (CAPM) has been widely used...

Persistent link: https://www.econbiz.de/10005279007

Contagion effect of the European financial crisis on China's stock markets : interdependence and pure contagion

Shen, Pei-Long; Li, Wen; Wang, Xiao-Ting; Su, Chi-Wei - In: Economic modelling 50 (2015), pp. 193-199

Persistent link: https://www.econbiz.de/10011440502

Temporary alienation or lasting separation? : covered and government bond spread movements during and after the crisis of 2007 - 2009

Hellmich, Martin; Kraft, Holger; Siddiqui, Sikandar - In: International journal of economics and finance 7 (2015) 5, pp. 22-37

Persistent link: https://www.econbiz.de/10010528300

Forecasting copper prices with dynamic averaging and selection models

Buncic, Daniel; Moretto, Carlo - In: The North American journal of economics and finance : a … 33 (2015), pp. 1-38

Persistent link: https://www.econbiz.de/10011533586

Some Thoughts on Monetary Targeting vs. Inflation Targeting

Cabos, Karen; Funke, Michael; Siegfried, Nikolaus A. - Institut für Makroökonomie und Wirtschaftspolitik, … - 1999

We offer some empirical evidence on the likely scale of control and indicator problems surrounding alternative monetary targets and a direct inflation target. The links between monetary policy actions and inflationare estimated in dynamic linear models using the Kalman filter. We compare...

Persistent link: https://www.econbiz.de/10005582267

Optimal Test for Parameter Instability When the Unstable Process and the Error Distribution are Unknown

Lee, Dong Jin - 2008

types of structural breaks and time varying parameter processes. The test is then extended to semiparametric models in which …

Persistent link: https://www.econbiz.de/10009430182

The tourism forecasting competition

Athanasopoulos, George; Hyndman, Rob J; Song, Haiyan; … - Department of Econometrics and Business Statistics, … - 2008

We evaluate the performance of various methods for forecasting tourism demand. The data used include 380 monthly series, 427 quarterly series and 530 yearly series, all supplied to us by tourism bodies or by academics from previous tourism forecasting studies. The forecasting methods implemented...

Persistent link: https://www.econbiz.de/10005427605

Dynamic probabilities of restrictions in state space models: An application to the Phillips curve

Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney W. - Rimini Centre for Economic Analysis (RCEA) - 2008

Empirical macroeconomists are increasingly using models (e.g. regressions or Vector Autoregressions) where the parameters vary over time. State space methods are frequently used to specify the evolution of parameters in such models. In any application, there are typically restrictions on the...

Persistent link: https://www.econbiz.de/10005091067

On the Evolution of Monetary Policy

Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney W. - Rimini Centre for Economic Analysis (RCEA) - 2008

This paper investigates the evolution of monetary policy in the U.S. using a standard set of macroeconomic variables. Many recent papers have addressed the issue of whether the monetary transmission mechanism has changed (e.g. due to the Fed taking a more aggressive stance against ination) or...

Persistent link: https://www.econbiz.de/10005091085

Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?

Granger, Clive - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 3, pp. 1639-1639

parameter linear model. Compared with non-linear models, multi-step forecasts are more easily prepared using time-varying … non-linear models in economics and shows (via White's Theorem) that any non-linear model can be approximated by a time-varying … parameter models, while they are also more readily interpretable and theoretical results on aggregation are straightforward to …

Persistent link: https://www.econbiz.de/10005246308