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Bandwidth selection for continuous-time Markov processes

Bandi, Federico; Corradi, Valentina; Moloche, Guillermo - Volkswirtschaftliche Fakultät, … - 2009

case, for instance, for stochastic volatility modelling by virtue of preliminary high-frequency spot variance estimates …

Persistent link: https://www.econbiz.de/10011113065

Forecasting economy with Bayesian autoregressive distributed lag model: choosing optimal prior in economic downturn

Bušs, Ginters - Volkswirtschaftliche Fakultät, … - 2009

Bayesian inference requires an analyst to set priors. Setting the right prior is crucial for precise forecasts. This paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed lag (ADL) model is chosen. The results show that a...

Persistent link: https://www.econbiz.de/10005103392

Transformations and Seasonal Adjustment: Analytic Solutions and Case Studies

Proietti, Tommaso; Riani, Marco - Volkswirtschaftliche Fakultät, … - 2007

We address the problem of seasonal adjustment of a nonlinear transformation of the original time series, such as the Box-Cox transformation of a time series measured on a ratio scale, or the Aranda-Ordaz transformation of proportions, which aims at enforcing two essential features: additivity...

Persistent link: https://www.econbiz.de/10005789223

The Term Structure of Interest Rate as a Predictor of Inflation and Real Economic Activity: Nonlinear Evidence from Turkey

Omay, Tolga - Volkswirtschaftliche Fakultät, … - 2008

This study investigates whether the term structure of interest rates contains useful information about future real economic activity and inflation in Turkey during the 1991:7-2004:3 periods. In order to analyze these relationships, we have employed the Generalized Impulse Response (GIRF)...

Persistent link: https://www.econbiz.de/10008836761

Testing for time-varying fractional cointegration using the bootstrap approach

Simwaka, Kisu - Volkswirtschaftliche Fakultät, … - 2012

Fractional cointegration has attracted interest in time series econometrics in recent years (see among others, Dittmann 2004). According to Engle and Granger (1987), the concept of fractional cointegration was introduced to generalize the traditional cointegration to the long memory framework....

Persistent link: https://www.econbiz.de/10011108746

Overnight Index Rate: Model, Calibration, and Simulation

Yashkir, Yuriy; Yashkir, Olga - Volkswirtschaftliche Fakultät, … - 2013

In this study the extended Overnight Index Rate (OIR) model is presented. The fitting function for the probability distribution of the OIR daily returns is based on three different Gaussian distributions which provide modelling of the narrow central peak and the wide fat-tailed component....

Persistent link: https://www.econbiz.de/10011109257

The comparison of optimization algorithms on unit root testing with smooth transition

Omay, Tolga - Volkswirtschaftliche Fakultät, … - 2012

The aim of this study is to search for a better optimization algorithm in applying unit root tests that inherit nonlinear models in the testing process. The algorithms analyzed include Broyden, Fletcher, Goldfarb and Shanno (BFGS), Gauss-Jordan, Simplex, Genetic, and Extensive Grid-Search. The...

Persistent link: https://www.econbiz.de/10011109468

Least squares estimation for GARCH (1,1) model with heavy tailed errors

Preminger, Arie; Storti, Giuseppe - Volkswirtschaftliche Fakultät, … - 2014

GARCH (1,1) models are widely used for modelling processes with time varying volatility. These include financial time … analysis suggest that in some settings, depending on the specific measure of volatility adopted, the LSE can allow for more … accurate predictions of volatility than the usual Gaussian QMLE. …

Persistent link: https://www.econbiz.de/10011111078

An algorithm using GARCH process , Monte-Carlo simulation and wavelets analysis for stock prediction

Giovanis, Eleftherios - Volkswirtschaftliche Fakultät, … - 2008

This paper examines and presents a simple algorithm for prediction stock written in MATLAB code. We apply it to thirty stocks of the Athens exchange stock market . We obtain the stock returns and we would like to predict, not the actual price , but the sign of stock returns. The results are very...

Persistent link: https://www.econbiz.de/10011267899

Rtadf: Testing for Bubbles with EViews

Caspi, Itamar - Volkswirtschaftliche Fakultät, … - 2013

This paper presents Rtadf (Right Tail Augmented Dickey-Fuller), an EViews Add-in that facilitates the performance of time series based tests that help detect and date-stamp asset price bubbles. Detection strategy is based on a right-tail variation of the standard Augmented Dickey-Fuller (ADF)...

Persistent link: https://www.econbiz.de/10011112946