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probabilities of default (PDs) for stablecoins based on market capitalization using various forecasting models. A robustness check …
Persistent link: https://www.econbiz.de/10015214602
This paper investigates the economic importance of nonparametrically/semiparametrically modelling the shape and the change in the unknown distribution of returns in portfolio allocation problems from a Bayesian perspective. Besides parametric multivariate GARCH (MGARCH) benchmark models for...
Persistent link: https://www.econbiz.de/10015214743
, Granger causality tests, and an out-of-sample forecasting exercise with 18 competing models with a forecast horizon of 14 days …
Persistent link: https://www.econbiz.de/10015215096
Sergey Aivazian was the head of my department at the Moscow School of Economics, but he was much more than that. He played an important role in my life, and he contributed to my studies devoted to copula modelling. This small memoir reports how this amazingly polite and smart scientist helped me...
Persistent link: https://www.econbiz.de/10015215098
This paper uses real-time data for the U.S. to estimate out-of-sample forecast uncertainty about the Federal Funds Rate. By combining a Taylor rule with an unobserved components model of economic fundamentals I separate forecast uncertainty into economically interpretable components that...
Persistent link: https://www.econbiz.de/10015215717
Bayesian inference requires an analyst to set priors. Setting the right prior is crucial for precise forecasts. This paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed lag (ADL) model is chosen. The results show that a...
Persistent link: https://www.econbiz.de/10015218160
fell to unprecedented low levels in the 1980s and remained low while uncertainty about future output and inflation declined …
Persistent link: https://www.econbiz.de/10015219151
This paper shows how to estimate forecast uncertainty about future short-term interest rates by combining a time-varying Taylor rule with an unobserved components model of economic fundamentals. Using this model I separate interest rate uncertainty into economically meaningful components that...
Persistent link: https://www.econbiz.de/10015219153
The main concern of this report is to model the daily and weekly forecasting of the currency in circulation (CIC) for … patterns daily, weekly or even monthly basis. We have compared the forecasting performance of typical linear forecasting models … in forecasting CIC, particularly for short-term horizons. …
Persistent link: https://www.econbiz.de/10015220092
The paper compares one-period ahead forecasting performance of linear vector-autoregressive (VAR) models and single …
Persistent link: https://www.econbiz.de/10015220371