This draft is a summary of the paper entitled: Forecasting Fuel Prices with the Chilean Exchange Rate. In that paper we show that the Chilean exchange rate has the ability to predict the returns of oil prices and of three additional oil-related products: gasoline, propane and heating oil. The...

The way in which market participants form expectations affects the dynamic properties of financial asset prices and therefore the appropriateness of different econometric tools used for empirical asset pricing. In addition to standard rational expectations models, this thesis studies a class of...

This thesis presents a novel rolling GLS-based model to improve the precision of time-varying parameter estimates in dynamic linear models. Through rigorous simulations, the rolling GLS model exhibits enhanced accuracy in scenarios with smaller sample sizes and maintains its efficacy when the...

This thesis presents a novel rolling GLS-based model to improve the precision of time-varying parameter estimates in dynamic linear models. Through rigorous simulations, the rolling GLS model exhibits enhanced accuracy in scenarios with smaller sample sizes and maintains its efficacy when the...

Information on price-quantity relationships will enable flower producers to reduce risk and raise profits through better timing of rotations as well as better utilization of limited greenhouse space. The present paper presents econometric evidence on such price-quantity relationships for major...

The ability of Google Trends data to forecast the number of new daily cases and deaths of COVID-19 is examined using a dataset of 158 countries. The analysis includes the computations of lag correlations between confirmed cases and Google data, Granger causality tests, and an out-of-sample...

We show that the empirical distribution of the roots of the vector auto-regression of order n fitted to T observations of a general stationary or non-stationary process, converges to the uniform distribution over the unit circle on the complex plane, when both T and n tend to infinity so that...

We show that the empirical distribution of the roots of the vector auto-regression of order n fitted to T observations of a general stationary or non-stationary process, converges to the uniform distribution over the unit circle on the complex plane, when both T and n tend to infinity so that...

The reform of exchange rate system in 2005 has settled down the floating exchange rate system with management in China. Until August this year, RMB/USD has appreciated about 16.65%. This paper measures the exchange market pressure (EMP) on RMB/USD, and use VAR model to analyze the relationship...

Using multivariate cointegration tests for non-stationary data and vector error correction models, this paper examines the determinants of trade balance for Argentina over the last forty to fifty years. Our investigation confirms the existence of long-run relationships among trade balance, Real...