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Forecasting banking system liquidity is crucial for the effective monetary policy implementation. This study investigates the effectiveness of various econometric and machine learning models in predicting the autonomous factors of banking system liquidity. The research compares widely used...
Persistent link: https://www.econbiz.de/10015198517
The problem of multicollinearity in the assessments of coefficients is well established. However, it is rarely researched in the estimations of macroeconomic variables and economic performance of developing countries. Predicatively, it has impacts on the estimations of coefficients that should...
Persistent link: https://www.econbiz.de/10014179444
The Autocallable is a strutured product which involve payment of more or less exotic coupons until a callable event. The Digital risk at each coupon payment date induces hedge difficulties. Indeed, closer to the trigger event, the trader faces hedging difficulties at each fixing between the...
Persistent link: https://www.econbiz.de/10013114126
We investigate correlations of asset returns in stress scenarios where a common risk factor is truncated. Our analysis is performed in the class of normal variance mixture (NVM) models, which encompasses many distributions commonly used in financial modelling. For the special cases of jointly...
Persistent link: https://www.econbiz.de/10013116450
Persistent link: https://www.econbiz.de/10001614918
Structural VAR models are routinely estimated by Bayesian methods. Several recent studies have voiced concerns about the common use of posterior median (or mean) response functions in applied VAR analysis. In this paper, we show that these response functions can be misleading because in...
Persistent link: https://www.econbiz.de/10014048816
A well known result is that the Gaussian log-likelihood can be expressed as the sum over different frequency components. This implies that the likelihood ratio statistic has a similar linear decomposition. We exploit these observations to devise diagnostic methods that are useful for...
Persistent link: https://www.econbiz.de/10014197599
A path forecast refers to the sequence of forecasts 1 to H periods into the future. A summary of the range of possible paths the predicted variable may follow for a given confidence level requires construction of simultaneous confidence regions that adjust for any covariance between the elements...
Persistent link: https://www.econbiz.de/10014216513
We model a large panel of time series as a VAR where the autoregressive matrices and the inverse covariance matrix of the system innovations are assumed to be sparse. The system has a network representation in terms of a directed graph representing predictive Granger relations and an undirected...
Persistent link: https://www.econbiz.de/10014158917
We establish consistency and asymptotic normality of the quasi-maximum likelihood estimator in the linear ARCH model. Contrary to existing literature we allow the parameters to be in the region where no stationary version of the process exists
Persistent link: https://www.econbiz.de/10014104835