Similar Search Results

Asymmetric Stable Stochastic Volatility Models: Estimation, Filtering, and Forecasting

Blasques, Francisco; Koopman, Siem Jan; Moussa, Karim - 2023

filtering of time-varying volatility, and volatility forecasting. Specifically, we make use of the indirect inference method to …

Persistent link: https://www.econbiz.de/10014469776

Inflation Targeting and Inflation Expectations: Evidence for Brazil and Turkey

Altuğ, Sumru; Çakmaklı, Cem - 2014

In this paper, we study the evolution of inflation expectations for two key emerging economies, Brazil and Turkey, using a reduced form model in a state-space framework, where the level of inflation is modeled explicitly. We match the survey-based inflation expectations and inflation targets set...

Persistent link: https://www.econbiz.de/10010500266

The hot hand in professional darts

Ötting, Marius; Langrock, Roland; Deutscher, Christian; … - In: Journal of the Royal Statistical Society: Series A … 183 (2019) 2, pp. 565-580

We investigate the hot hand hypothesis in professional darts in a nearly ideal setting with minimal to no interaction between players. Considering almost 1 year of tournament data, corresponding to 167492 dart throws in total, we use state space models to investigate serial dependence in...

Persistent link: https://www.econbiz.de/10012428723

Return based risk measures for non-normally distributed returns: An alternative modelling approach

Samunderu, Eyden; Murahwa, Yvonne T. - In: Journal of Risk and Financial Management 14 (2021) 11, pp. 1-48

can be used in risk measurement and forecasting. Value at risk (VaR) is a widely used measure of financial risk, which … series analysis conducted and led to the forecasting of the returns. It was noted that these methods could not be used in … relation of assets with each other. Furthermore, we also examined the environment as a whole, then applied forecasting models …

Persistent link: https://www.econbiz.de/10013201223

Fiscal targets. A guide to forecasters?

Paredes, Joan; Pérez, Javier J.; Pérez Quirós, Gabriel - 2015

Should rational agents take into consideration government policy announcements? A skilled agent (an econometrician) could set up a model to combine the following two pieces of information in order to anticipate the future course of fiscal policy in real-time: (i) the ex-ante path of policy as...

Persistent link: https://www.econbiz.de/10011605879

Bayesian Estimation of Agent-Based Models via Adaptive Particle Markov Chain Monte Carlo

Lux, Thomas - In: Computational Economics 60 (2021) 2, pp. 451-477

Over the last decade, agent-based models in economics have reached a state of maturity that brought the tasks of statistical inference and goodness-of-fit of such models on the agenda of the research community. While most available papers have pursued a frequentist approach adopting either...

Persistent link: https://www.econbiz.de/10014502036

The role of sectoral shifts in the great moderation

Burren, Daniel - 2008

In this paper, I study the drop of real GDP volatility which has been observed in the United States during the postwar period. This paper thoroughly estimates how much sectoral shifts contributed to this phenomenon called the Great Moderation. In a short section, Stock and Watson (2003) find...

Persistent link: https://www.econbiz.de/10010316043

Policy Risk and the Business Cycle

Born, Benjamin; Pfeifer, Johannes - 2013

The argument that policy risk, i.e., uncertainty about monetary and fiscal policy, has been holding back the economic recovery in the U.S. during the Great Recession has a large popular appeal. We analyze the role of policy risk in explaining business cycle fluctuations by using an estimated New...

Persistent link: https://www.econbiz.de/10010318821

Multivariate Wishart Stochastic Volatility Models

Gribisch, Bastian; Liesenfeld, Roman - 2010

We generalize the basic Wishart multivariate stochastic volatility model of Philipov and Glickmann (2006) to encompass regime switching behavior. The latent state variable is driven by a first-order Markov process. In order to estimate the proposed model we use Bayesian Markov Chain Monte Carlo...

Persistent link: https://www.econbiz.de/10010270133

Policy Risk and the Business Cycle

Born, Benjamin; Peifer, Johannes - 2011

The argument that policy risk, i.e. uncertainty about monetary and fiscal policy, has been holding back the economic recovery in the U.S. during the Great Recession has a large popular appeal. We analyze the role of policy risk in explaining business cycle fluctuations by using an estimated New...

Persistent link: https://www.econbiz.de/10010293363