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An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model

Vargas, Gregorio A. - 2006

The Block DCC model for determining dynamic correlations within and between groups of financial asset returns is extended to account for asymmetric effects. Simulation results show that the Asymmetric Block DCC model is competitive in in-sample forecasting and performs better than alternative...

Persistent link: https://www.econbiz.de/10015219232

Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate

Pincheira, Pablo; Jarsun, Nabil - 2020

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...

Persistent link: https://www.econbiz.de/10015229382

A Macroeconomic Simulation Model for Uzbekistan: Technical Guide to Macroeconomic Applications

Lord, Montague - 2005

The study provide an analysis of the macroeconomic issues surrounding the reforms needed to meet the country’s growth target, as well as to identify existing policy and structural constraints and macroeconomic policy reforms measures that would help to remove those constraints. The indicative...

Persistent link: https://www.econbiz.de/10015233639

Modeling the Macro-Economy of Bangladesh

Lord, Montague - 2002

The study develops a parsimonious representation of the macro economy of Bangladesh. It aims to serve a dual purpose. First, it provides a framework for making rational and consistent predictions about Bangladesh's overall economic activity, the standard components of the balance of payments,...

Persistent link: https://www.econbiz.de/10015233649

FDI as an Opportunity for Economic growth of Bangladesh: A VECM Analysis.

Asaduzzaman, Md - 2019

This study investigates the empirical relationship between economic growth (GDP) and Foreign Direct Investment (FDI) as well as the Real Effective Exchange Rate (REER) and Trade Openness (TOP) of Bangladesh over the period from 1973 to 2017 by using Johansen cointegration test and VECM analysis....

Persistent link: https://www.econbiz.de/10015257987

Forecasting Nigerian Inflation using Model Averaging methods: Modelling Frameworks to Central Banks

Tumala, Mohammed M; Olubusoye, Olusanya E; Yaaba, Baba N; … - 2017

As a result of the adverse macroeconomic effect of inflation on welfare, fiscal budgeting, trade performance, international competitiveness and the whole economy, inflation still remains a subject of utmost concern and interest to policy makers. The traditional Philips curve as well as other...

Persistent link: https://www.econbiz.de/10015261465

L’impact De L’investissement Des Revenus Pétroliers Sur La Croissance, L’inflation Et Le Chômage : Cas D’Algérie (2000-2015)

BENYOUB, Mohammed - 2018

This paper investigates the short-run and long-run relationships between four main Algerian macroeconomic variables, the investment of oil revenues, economic growth, unemployment rate, inflation rate, using the Johansen multivariate cointegration techniques as well as VAR model for the period...

Persistent link: https://www.econbiz.de/10015262302

The Causal Relationship Between Government Revenue and Expenditure in Namibia

Eita, Joel Hinaunye; Mbazima, Daisy - 2008

The relationship between government revenue and government expenditure is important, given its relevance for policy especially with respect to the budget deficit. The purpose of this paper is to investigate the relationship between government revenue and government expenditure in Namibia. It...

Persistent link: https://www.econbiz.de/10015262778

Day-ahead electricity price forecasting with emphasis on its volatility in Iran (GARCH combined with ARIMA models)

Pourghorban, Mojtaba; Mamipour, Siab - 2019

has complex behavior such as nonlinearity, nonstationarity, and high volatility. ARIMA is suitable in forecasting, but it … is not able to handle nonlinearity and volatility are existent in time series. Therefore, GARCH models are used to handle … volatility in the in time series forecasting. The proposed method is computed using the daily electricity price data of Iran …

Persistent link: https://www.econbiz.de/10015264450

A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies

Fantazzini, Dean; Zimin, Stephan - 2019

were calculated and evaluated with several tests. The ZPP approach was used for the estimation of the probability of …

Persistent link: https://www.econbiz.de/10015265126