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Semiparametric Estimation of Long-Memory Volatility Dependencies
Bollerslev, T.; Wright, J.H. - 2000
Recent empirical studies have argued that the temporal dependencies in "nancialmarket volatility are best characterized by long memory, or fractionally integrated, timeseries models. Meanwhile, little is known about the properties of the semiparametric inference procedures underlying much of...
Persistent link: https://www.econbiz.de/10009475580
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GARCH Proof of Concept
Datta, Shoumen - 2008
Making sense of data may benefit from high volume data acquisition and analysis using GARCH and VAR-MGARCH (Datta et al …, we propose to bolster the GARCH proof of concepts through pilot implementations of analytical engines in diverse …
Persistent link: https://www.econbiz.de/10009433073
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GARCH PROOF OF CONCEPT _ UPDATED 18 DEC 2008
Datta, Shoumen - 2008
Proof that application of GARCH technique offers potential for profitability. Forecasting is an underestimated field of …Making sense of data may benefit from high volume data acquisition and analysis using GARCH and VAR-MGARCH (Datta et al … forecasting methods in context of supply chains and demonstrated financial profitability from use of the GARCH technique. It …
Persistent link: https://www.econbiz.de/10009433075
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Asymmetrry and time variation in exchange rate exposure: An investigation of Australian stocks returns
Brooks, R; Di Iorio, A; Faff, R; Fry, T; Joymungul, Y - 2010
Purpose - The purpose of this paper is to provide some insights into the exchange rate exposure of Australian stock returns. Design/methodology/approach - Using a dynamic econometric approach that allows for both asymmetry and time-varying risk exposures in both the exchange rate variable and...
Persistent link: https://www.econbiz.de/10009481764
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Forecasting construction tender price index using vector error-correction model
Wong, JMW; Ng, ST - 2010
Reliable short- to medium-term prediction of the tender price index (TPI) is crucial to construction stakeholders, and this has stimulated the interest of the research community to seek a more analytical method for TPI forecast. The purpose of this study is to establish an econometric model for...
Persistent link: https://www.econbiz.de/10009471379
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Econometric Modelling and Forecasting Company's FCF Components
Virbukaitė, Laura - 2010
The aim of the study is to verify a hypothesis, whether a company’s financial statement items can be modelled using econometric techniques incorporating accounting and macroeconomic variables. For the modelling and forecasting are selected items, necessary to calculate a company’s free cash...
Persistent link: https://www.econbiz.de/10009478237
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Valstybės finansų ekonometrinis modeliavimas
Mačiulaitytė, Elena - 2007
The accurate (exact) prediction of tax revenue is a very important task for state budget planning. Both underestimation and overestimation of the planned revenue could cause problems in case the revenue is used to finance government functions. In the past few years planning of profit tax revenue...
Persistent link: https://www.econbiz.de/10009479014
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Valstybės finansų ekonometrinis modeliavimas
Mačiulaitytė, Elena - 2007
The accurate (exact) prediction of tax revenue is a very important task for state budget planning. Both underestimation and overestimation of the planned revenue could cause problems in case the revenue is used to finance government functions. In the past few years planning of profit tax revenue...
Persistent link: https://www.econbiz.de/10009479015
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Econometric modelling in the presence of evolutionary change
Foster, J.; Wild, P. - 1999
A methodology is offered which can be used to construct an econometric model in the presence of structural change of an evolutionary type. The theoretical basis for such modelling is drawn from the self-organisation approach and operationalised in the context of the logistic diffusion growth...
Persistent link: https://www.econbiz.de/10009448572
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A dynamic approach to forecast rental growth
Tonelli, Marcello; Cowley, Mervyn; Boyd, Terence - 2004
Numerous econometric models have been proposed for forecasting property market performance, but limited success has been achieved in finding a reliable and consistent model to predict property market movements over a five to ten year timeframe. This research focuses on office rental growth...
Persistent link: https://www.econbiz.de/10009437836