Showing 1 - 10 of 5,351
model with investor learning. …
Persistent link: https://www.econbiz.de/10011190714
good performance of the methodology on an asset pricing model with investor learning. …
Persistent link: https://www.econbiz.de/10011147722
Particle Filters are now regularly used to obtain the filter distributions associated with state space financial time series. Most commonly used nowadays is the auxiliary particle filter method in conjunction with a first order Taylor expansion of the log-likelihood. We argue in this paper that...
Persistent link: https://www.econbiz.de/10005067717
This paper is concerned with the fitting and comparison of high dimensional multivariate time series models with time varying correlations. The models considered here combine features of the classical factor model with those of the univariate stochastic volatility model. Specifically, a set of...
Persistent link: https://www.econbiz.de/10010605134
forecasting. The model generalises to unobserved component models where Gaussian shocks are replaced by martingale difference …
Persistent link: https://www.econbiz.de/10010823426
inflation forecasting.  The model generalises to unobserved component models where Gaussian shocks are replaced by martingale …
Persistent link: https://www.econbiz.de/10011004138
This paper studies whether the out-of-sample forecasting performance of a dynamic stochastic general equilibrium (DSGE …
Persistent link: https://www.econbiz.de/10005086967
In this paper, we study the evolution of inflation expectations for two key emerging economies, Brazil and Turkey, using a reduced form model in a state-space framework, where the level of inflation is modeled explicitly. We match the survey-based inflation expectations and inflation targets set...
Persistent link: https://www.econbiz.de/10010859360
, HSAF. By comparing it with the HSAF approach, we give evidence to show that EDFAAF has a more effective forecasting power …
Persistent link: https://www.econbiz.de/10010670008
The applicability of learning and experience curves for predicting future costs of solar technologies is assessed, and … systems manufacture are discussed, and procedures for using learning and experience curves to predict costs are outlined … learning and aggregated cost curves for these surrogates estimated. If the surrogate learning curves apply, they can be used to …
Persistent link: https://www.econbiz.de/10009435662