Showing 1 - 10 of 159
Principal component analysis (PCA) is a widely used dimension reduction tool in the analysis of many kind of high-dimensional data. It is used in signal processing, mechanical engineering, psychometrics, and other fields under different names. It still bears the same mathematical idea: the...
Persistent link: https://www.econbiz.de/10010331114
Principal component analysis (PCA) is a widely used dimension reduction tool in the analysis of high-dimensional data. However, in many applications such as risk quantification in finance or climatology, one is interested in capturing the tail variations rather than variation around the mean. In...
Persistent link: https://www.econbiz.de/10011580438
In this study we forecast the term structure of FIBOR/EURIBOR swap rates by means of recursive vector autoregressive (VAR) models. In advance, a principal components analysis (PCA) is adopted to reduce the dimensionality of the term structure. To evaluate ex-ante forecasting performance for...
Persistent link: https://www.econbiz.de/10010271835
The paper proposes a data driven adaptive model selection strategy. The selection crite- rion measures economic exante forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither exposed to selection bias nor to the risk of...
Persistent link: https://www.econbiz.de/10010271837
In this paper we adopt a principal components analysis (PCA) to reduce the dimensionality of the term structure and employ autoregressive models (AR) to forecast principal components which, in turn, are used to forecast swap rates. Arguing in favor of structural variation, we propose data...
Persistent link: https://www.econbiz.de/10010274224
There are two main research traditions for analyzing market basket data that exist more or less independently from each other, namely exploratory and explanatory model types. Exploratory approaches are restricted to the task of discovering cross-category interrelationships and provide marketing...
Persistent link: https://www.econbiz.de/10010272734
A solution method is derived in this paper for solving a system of linear rational-expectations equation with lagged expectations (e.g., models incorporating sticky information) using the method of undetermined coefficients for the infinite MA representation. The method applies a combination of...
Persistent link: https://www.econbiz.de/10010263712
We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids. The Smolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality and we apply it to a Chebyshev approximation of the...
Persistent link: https://www.econbiz.de/10010263720
We present an object-oriented software framework allowing to specify, solve, and estimate nonlinear dynamic general equilibrium (DSGE) models. The implemented solution methods for finding the unknown policy function are the standard linearization around the deterministic steady state, and a...
Persistent link: https://www.econbiz.de/10010263731
In this note we establish the existence of the first two moments of the asymptotic tracestatistic, which appears as weak limit of the likelihood ratio statistic for testing the cointe-gration rank in a vector autoregressive model and whose moments may be used to developpanel cointegration tests....
Persistent link: https://www.econbiz.de/10008939788