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This paper is concerned with the Bayesian estimation and comparison of flexible, high dimensional multivariate time series models with time varying correlations. The model proposed and considered here combines features of the classical factor model with that of the heavy tailed univariate...
Persistent link: https://www.econbiz.de/10009441545
This dissertation presents two essays on Markov-Switching dynamic stochastic general equilibrium models. The first essay is "Perturbation Methods for Markov-Switching Models," which is co-authored with Juan Rubio-Ramirez, Dan Waggoner, and Tao Zha. This essay develops an perturbation-based...
Persistent link: https://www.econbiz.de/10009475390
We use a general Markov switching model to examine the relationships between returns over three different asset classes: financial assets (U.S. stocks and Treasury bonds), commodities (oil and gold) and real estate assets (U.S. Case-Shiller index). We confirm the existence of two distinct...
Persistent link: https://www.econbiz.de/10009448862
The recently witnessed financial turmoil and the current international stability context have demonstrated the need for a deeper understandingabout ex-ante international asset price fluctuations. Moreover, it is now more evident that very little is known about real estate securities and their...
Persistent link: https://www.econbiz.de/10009429017
recommend that the Agency adopt this composite forecasting method, that uses time series analysis and current National …
Persistent link: https://www.econbiz.de/10009429494
This thesis develops a forecasting model to predict six different volume measures on a weekly and daily basis for UPS … plans. Four different forecasting methods are used to evaluate each volume metric. Moving average, single exponential … smoothing, double exponential smoothing and Winter’s additive model are the four forecasting methods that are used to generate …
Persistent link: https://www.econbiz.de/10009429621
as an alternative forecasting tool. Based on our results, we confidently conclude that money provides a good amount of … output, real or nominal. In forecasting inflation, we make a distinction between high- and low-inflation environments. In …
Persistent link: https://www.econbiz.de/10009430936
Forecasting is an underestimated field of research in supply chain management. Recently advanced methods are coming … this paper we explore advanced forecasting tools for decision support in supply chain scenarios and provide preliminary …Application of econometric principles and techniques (VAR-MGARCH) to risk analytics and forecasting in operations …
Persistent link: https://www.econbiz.de/10009432261
Forecasting is an underestimated field of research in supply chain management. Recently advanced methods are coming … and transparency. In this chapter we explore advanced forecasting tools for decision support in supply chain scenarios and … 2007) techniques in addition to and in combination with other tools for forecasting and risk analysis. In this work, we …
Persistent link: https://www.econbiz.de/10009433073
Proof that application of GARCH technique offers potential for profitability. Forecasting is an underestimated field of … advanced forecasting tools for decision support in supply chain scenarios and provide preliminary simulation results from their … 2007) techniques in addition to and in combination with other tools for forecasting and risk analysis in diverse verticals …
Persistent link: https://www.econbiz.de/10009433075