Narrow search
Showing 1 - 10 of 239
Cover Image
Bayesian averaging over many dynamic model structures with evidence on the Great Ratios and liquidity trap risk
Strachan, Rodney W.; Dijk, Herman K. van - 2008
A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...
Persistent link: https://www.econbiz.de/10011377110
Cover Image
Bayesian averaging over many dynamic model structures with evidence on the great ratios and liquidity trap risk
Strachan, Rodney W.; Dijk, Herman K. van - 2008
Persistent link: https://www.econbiz.de/10003774524
Cover Image
Bayes estimates of Markov trends in possibly cointegrated series : an application to US consumption and income
Paap, Richard; Dijk, Herman K. van - 1999
expansion periods.Since a linear combination of such series does not have to be a constant meanprocess, standard cointegration … there exist a cointegration relation between US percapita disposable income and consumption, after correction for …
Persistent link: https://www.econbiz.de/10011301165
Cover Image
Time-varying identification of monetary policy shocks
Camehl, Annika; Woźniak, Tomasz - 2023
We propose a new Bayesian heteroskedastic Markov-switching structural vector autoregression with data-driven time-varying identification. The model selects alternative exclusion restrictions over time and, as a condition for the search, allows to verify identification through heteroskedasticity...
Persistent link: https://www.econbiz.de/10014422351
Cover Image
Moments, shocks and spillovers in Markov switching VAR models
Dijk, Dick van; Kole, Erik - 2021
To investigate how economies, financial markets or institutions can deal with stress, we nowadays often analyze the effects of shocks conditional on a recession or a bear market. MSVAR models are ideally suited for such analyses because they combine gradual movement with sudden switches. In this...
Persistent link: https://www.econbiz.de/10012621564
Cover Image
What do professional forecasters actually predict?
Nibbering, Didier; Paap, Richard; Wel, Michel van der - 2015
In this paper we study what professional forecasters actually explain. We use spectral analysis and state space modeling to decompose economic time series into a trend, a business-cycle, and an irregular component. To examine which components are captured by professional forecasters we regress...
Persistent link: https://www.econbiz.de/10011305773
Cover Image
Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil
Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021
We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil …, estimation of time-varying forecast biases and facets of miscalibration of individual forecast densities and time-varying inter …-varying forecast uncertainty and risk for the real price of oil over the period 1974-2018. We show that the combination approach …
Persistent link: https://www.econbiz.de/10012795319
Cover Image
Quantifying time-varying forecast uncertainty and risk for the real price of oil
Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021
We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil …, estimation of time-varying forecast biases and facets of miscalibration of individual forecast densities and time-varying inter …-varying forecast uncertainty and risk for the real price of oil over the period 1974-2018. We show that the combination approach …
Persistent link: https://www.econbiz.de/10012545165
Cover Image
A cointegration analysis of agricultural, energy and bio-fuel spot and futures prices
Allen, David E.; Chang, Chia-Lin; McAleer, Michael; … - 2016
This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing … cointegration and Markov-switching VECM and Impulse Response Analysis, confirms that these markets have significant linkages which …
Persistent link: https://www.econbiz.de/10011479769
Cover Image
Volatility spillover and multivariate volatility impulse response analysis of GFC news events
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2016
This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken...
Persistent link: https://www.econbiz.de/10011556166