Search Results - subject:"time‐varying parameters"

Bayesian Multivariate Time Series Methods for Empirical Macroeconomics

Koop, Gary; Korobilis, Dimitris - Rimini Centre for Economic Analysis (RCEA) - 2009

Macroeconomic practitioners frequently work with multivariate time series models such as VARs, factor augmented VARs as well as time-varying parameter versions of these models (including variants with multivariate stochastic volatility). These models have a large number of parameters and, thus,...

Persistent link: https://www.econbiz.de/10008487526

Bayesian Multivariate Time Series Methods for Empirical Macroeconomics

Koop, Gary; Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2009

Persistent link: https://www.econbiz.de/10008561154

VAR forecasting using Bayesian variable selection

Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2009

Carlo experiment, and in forecasting 4 macroeconomic series of the UK using time-varying parameters vector autoregressions …

Persistent link: https://www.econbiz.de/10008593003

Estimating Value-at-Risk (VaR) using TiVEx-POT Models

Mapa, Dennis S.; Cayton, Peter Julian; Lising, Mary Therese - Volkswirtschaftliche Fakultät, … - 2009

) - peaks over thresholds model (POT). The time varying parameters are linked to the linear predictor variables through link … functions. To estimate parameters of the linear predictors, maximum likelihood estimation is used with the time-varying … parameters being replaced from the likelihood function of the GPD. The test series used for the paper was the Philippine Peso …

Persistent link: https://www.econbiz.de/10008685553

Would the Bundesbank have prevented the Great Inflation in the United States?

Benati, Luca - European Central Bank - 2009

Policy counterfactuals based on estimated structural VARs routinely suggest that bringing Alan Greenspan back in the 1970s’ United States would not have prevented the Great Inflation. We show that a standard policy counterfactual suggests that the Bundesbank–which is near-universally...

Persistent link: https://www.econbiz.de/10008558915

Would the Bundesbank have prevented the Great Inflation in the United States?

Benati, Luca - 2009

Persistent link: https://www.econbiz.de/10011605180

A time varying DSGE model with financial frictions

Galvão, Ana Beatriz; Giraitis, Liudas; Kapetanios, George - 2015

We build a time varying DSGE model with financial frictions in order to evaluate changes in the responses of the macroeconomy to financial friction shocks. Using US data, we find that the transmission of the financial friction shock to economic variables, such as output growth, has not changed...

Persistent link: https://www.econbiz.de/10011460776

A Bayesian local likelihood method for modelling parameter time variation in DSGE models

Galvão, Ana Beatriz; Giraitis, Liudas; Kapetanios, George - 2015

DSGE models have recently received considerable attention in macroeconomic analysis and forecasting. They are usually estimated using Bayesian methods, which require the computation of the likelihood function under the assumption that the parameters of the model remain fixed throughout the...

Persistent link: https://www.econbiz.de/10011460777

Predictability of the daily high and low of the S&P 500 index

Jones, Clive - Volkswirtschaftliche Fakultät, … - 2015

Ratios involving the current period opening price and the high or low price of the previous period are significant predictors of the current period high or low price for many stocks and stock indexes. This is illustrated with daily trading data from the S&P 500 index. Regressions specifying...

Persistent link: https://www.econbiz.de/10011196424

A time varying DSGE model with financial frictions

Galvão, Ana Beatriz C.; Giraitis, Liudas; Kapetanios, … - 2015

Persistent link: https://www.econbiz.de/10011405255