Narrow search
Showing 1 - 10 of 252
Cover Image
A time-varying parameter vector autoregression model for forecasting emerging market exchange rates
Kumar, Manish - In: International journal of economic sciences and applied … 3 (2010) 2, pp. 21-39
In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee (INR)/US dollar (USD) exchange rates for the Indian economy is developed. The method is based on characterization of the TVP as an optimal control problem. The methodology is a...
Persistent link: https://www.econbiz.de/10009958060
Cover Image
On the importance of the arrival of new information
Chumacero, Rómulo A. - In: Estudios de economía 37 (2010) 2, pp. 207-215
, estimation, and decision making. By fusing known and recently developed statistical tests and concepts, the paper provides …
Persistent link: https://www.econbiz.de/10009959113
Cover Image
Volatility modeling for forecasting stock index with fixed parameter distributional assumption
Rahman, Md. Mostafizur; Rahman, Md. Azizur; Hossain, … - In: Journal of applied finance & banking 3 (2013) 1, pp. 109-122
2150 observations is used for empirical analysis. We consider first 1950 observations for in sample estimation and last 200 … parameter 1.5 of GED density fail to improve the in sample estimation performance compared to student-t and GED distributional … assumption. Among all of these models, APARCH model with student-t density give better in sample estimation results. In case of …
Persistent link: https://www.econbiz.de/10010118432
Cover Image
Seasonal adjustment versus seasonality modelling : effect on tourism demand forecasting
Gasmi, Amira - In: Advances in management & applied economics 3 (2013) 4, pp. 119-132
In this study, we treat the seasonal variation in monthly time series in the context of the Western-European tourism demand for Tunisia, by presenting different techniques of detection of seasonality and the parametric and non-parametric approaches of seasonal adjustment. Then, we compare the...
Persistent link: https://www.econbiz.de/10010148054
Cover Image
A factor analysis for the Spanish economy
Cuevas, Ángel; Quilis, Enrique M. - In: SERIEs : Journal of the Spanish Economic Association 3 (2012) 3, pp. 311-338
We present a medium-scale dynamic factor model to estimate and forecast the rate of growth of the Spanish economy in the very short term. The intermediate size of the model overcomes the serious specification problems associated with large scale-models and the implicit loss of information of...
Persistent link: https://www.econbiz.de/10010030016
Cover Image
The New Keynesian Phillips Curve in an inflation targeting country : the case of Turkey
Gozgor, Giray - In: International journal of economic sciences and applied … 6 (2013) 1, pp. 7-18
targeting monetary policy. The results from Generalized Methods of Moments (GMM) estimation suggest that empirical findings are …
Persistent link: https://www.econbiz.de/10010160677
Cover Image
Forecasting overnight interest rates volatility with asymmetric GARCH models
Dayioğlu, Tuğba - In: Journal of applied finance & banking 2 (2012) 6, pp. 151-162
leverage effects are seen in the estimation results. -- overnight interest rates volatility ; asymmetric Garch models …
Persistent link: https://www.econbiz.de/10010118418
Cover Image
Time series models for growth of urban population in SAARC countries
Khan, Md. Atikur Rahman; Rahman, Md. Mostafizur - In: Advances in management & applied economics 2 (2012) 1, pp. 109-119
The purpose of our present study is to strike out suitable models to explain the growth pattern and to forecast for urban population in SAARC countries. Using the data from UNPD for the years 1950 to 2000 in five years interval, we fitted both exponential and ARMA models. We found the...
Persistent link: https://www.econbiz.de/10010009053
Cover Image
The similarity between the square of the coefficient of variation and the Gini index of a general random variable
González Abril, Luis; Velasco Morente, Francisco; … - In: Revista de métodos cuantitativos para la economía y … 10 (2010), pp. 5-18
In this paper, several identities concerning expectation, variance, covariance, cumulative distribution functions, the coefficient of variation, and the Lorenz curve are obtained and they are used in establishing theoretical results. Furthermore, a graphical representation of the variance is...
Persistent link: https://www.econbiz.de/10009957383
Cover Image
Community-based health insurance and social capital : a review
Donfouet, Hermann Pierre Pythagore; Mahieu, Pierre-Alexandre - In: Health economics review 2 (2012) 5, pp. 1-5
Community-Based Health Insurance (CBHI) is an emerging concept for providing financial protection against the cost of illness and improving access to quality health services for low-income rural households who are excluded from formal insurance. CBHI is currently being provided in some rural...
Persistent link: https://www.econbiz.de/10010030025