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Welfare cost of inflation in Brazil : an approach with time-varying cointegration and Kalman Filter

Campos, Eduardo Lima; Cysne, Rubens Penha - 2018

Persistent link: https://www.econbiz.de/10011898482

Österholm, Pär; Poon, Aubrey - 2022

In this paper, we estimate trend inflation in Sweden using an unobserved components stochastic volatility model. Using … data from 1995Q4 to 2021Q4 and Bayesian estimation methods, we find that trend inflation has been well-anchored during the … period - although in general at a level below the inflation target - and it does not appear to have been affected much by the …

Persistent link: https://www.econbiz.de/10012818429

The comovment between money and economic growth in 15 Asia-Pacific countries : wavelet coherency analysis in time-frequency domain

Tsai, Su-Ling; Chang, Tsangyao - In: Romanian journal of economic forecasting 21 (2018) 2, pp. 63-79

Persistent link: https://www.econbiz.de/10012020116

On the Tracking and Replication of Hedge Fund Optimal Investment Portfolio Strategies in Global Capital Markets in Presence of Nonlinearities, Applying Bayesian Filters : 1. Stratanovich – Kalman – Bucy Filters for Gaussian Linear Investment Returns Distribution and 2. Particle Filters for Non-Gaussian Non-Linear Investment Returns Distribution

Ledenyov, Dimitri - 2015

On the tracking and replication of hedge fund optimal investment portfolio strategies in global The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to...

Persistent link: https://www.econbiz.de/10013025088

Time-Varying Combinations of Predictive Densities Using Nonlinear Filtering

Billio, Monica - 2012

We propose a Bayesian combination approach for multivariate predictive densities which relies upon a distributional state space representation of the combination weights. Several specifications of multivariate time-varying weights are introduced with a particular focus on weight dynamics driven...

Persistent link: https://www.econbiz.de/10013098263

Spline smoothing over difficult regions : a state space approach

Koopman, Siem Jan; Wong, Soon Yip - 2008

Persistent link: https://www.econbiz.de/10003811428

Time-varying combinations of Bayesian dynamic models and equity momentum strategies

Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016

A novel dynamic asset-allocation approach is proposed where portfolios as well as portfolio strategies are updated at every decision period based on their past performance. For modeling, a general class of models is specified that combines a dynamic factor and a vector autoregressive model and...

Persistent link: https://www.econbiz.de/10011563065

A flexible predictive density combination model for large financial data sets in regular and crisis periods

Casarin, Roberto; Ravazollo, Francesco; Grassi, Stefano; … - 2022

A flexible predictive density combination model is introduced for large financial data sets which allows for dynamic weight learning and model set incompleteness. Dimension reduction procedures allocate the large sets of predictive densities and combination weights to relatively small sets....

Persistent link: https://www.econbiz.de/10012816959

A flexible predictive density combination for large financial data sets in regular and crisis periods

Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2022

A flexible predictive density combination is introduced for large financial data sets which allows for model set incompleteness. Dimension reduction procedures that include learning allocate the large sets of predictive densities and combination weights to relatively small subsets. Given the...

Persistent link: https://www.econbiz.de/10013332662

Monetary aggregates and monetary policy in Peru

Lahura, Erick - 2017

Persistent link: https://www.econbiz.de/10011755697