Search Results - subject:"time‐varying parameter"

An approach to increasing forecast‐combination accuracy through VAR error modeling

Weigt, Till; Wilfling, Bernd - In: Journal of Forecasting 40 (2021) 4, pp. 686-699

from a large time-varying parameter VAR model of the errors, using past observations) with the aim of obtaining more … yields substantial accuracy gains (in terms of loss reductions of up to 18%) for the simple average and three time-varying-parameter …

Persistent link: https://www.econbiz.de/10012509452

The time-varying effects of oil prices on oil-gas stock returns of the fragile five countries

Yurteri Kösedağlı, Begüm; Kışla, Gül Huyugüzel; … - In: Financial innovation : FIN 7 (2021), pp. 1-22

This study analyzes oil price exposure of the oil-gas sector stock returns for the fragile five countries based on a multi-factor asset pricing model using daily data from 29 May 1996 to 27 January 2020. The endogenous structural break test suggests the presence of serious parameter...

Persistent link: https://www.econbiz.de/10012418479

Time-varying state correlations in state space models and their estimation via indirect inference

Schiavoni, Caterina; Koopman, Siem Jan; Palm, Franz C.; … - 2021

Statistics Netherlands uses a state space model to estimate the Dutch unemployment by using monthly series about the labour force surveys (LFS). More accurate estimates of this variable can be obtained by including auxiliary information in the model, such as the univariate administrative series...

Persistent link: https://www.econbiz.de/10012434085

Time-varying state correlations in state space models and their estimation via indirect inference

Schiavoni, Caterina; Koopman, Siem Jan; Palm, Franz C.; … - 2021

Persistent link: https://www.econbiz.de/10012436055

Bayesian analysis of time-varying interactions between stock returns and foreign equity flows

Baba, Boubekeur; Sevil, Güven - In: Financial innovation : FIN 7 (2021), pp. 1-25

time-varying parameter vector autoregression with stochastic volatility. The empirical analysis reveals several new …

Persistent link: https://www.econbiz.de/10012594935

Is gold a safe haven for the dynamic risk of foreign exchange?

Wang, Kuan Min; Nguyen Thi Thanh Binh; Lee, Yuan-Ming - In: Future Business Journal 7 (2021), pp. 1-17

This paper uses the panel data of 15 countries from 2009 to 2020 to construct the time-varying parameter panel vector …

Persistent link: https://www.econbiz.de/10012668314

The fed, housing and household debt over time

Rella, Giacomo - 2021

Persistent link: https://www.econbiz.de/10012493219

The time-varying tradeoff between inflation and unemployment : evidence from SAARC economies with a state space approach

Vinayagathasan, Thanablasingam; Meng, Xiancai - In: Romanian journal of economic forecasting 24 (2021) 3, pp. 20-34

Persistent link: https://www.econbiz.de/10012655427

Analysis of the Trinidad & Tobago Mutual Fund Industry using a Time Varying Parameter Vector Autoregression (TVP-VAR) methodology

Dhanessar, Alon; Edwards, Stefan; Ramlogan, Avinash - 2021

Persistent link: https://www.econbiz.de/10012802849

Time varying dynamics of globalization effect in India

Gupta, Shikha; Kumar, Nand - In: Portuguese economic journal 22 (2023) 1, pp. 81-97

Persistent link: https://www.econbiz.de/10013549207