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Through the looking glass: Indirect inference via simple equilibria

Calvet, Laurent E.; Czellar, Veronika - In: Journal of Econometrics 185 (2015) 2, pp. 343-358

model with investor learning. …

Persistent link: https://www.econbiz.de/10011190714

Through the Looking Glass: Indirect Inference via Simple Equilibria

Calvet, Laurent; Czellar, Veronika - HEC Paris (École des Hautes Études Commerciales) - 2013

good performance of the methodology on an asset pricing model with investor learning. …

Persistent link: https://www.econbiz.de/10011147722

Second Order Filter Distribution Approximations for Financial Time Series with Extreme Outliers

Smith, J. Q.; Santos, António - Grupo de Estudos Monetários e Financeiros (GEMF), … - 2005

Particle Filters are now regularly used to obtain the filter distributions associated with state space financial time series. Most commonly used nowadays is the auxiliary particle filter method in conjunction with a first order Taylor expansion of the log-likelihood. We argue in this paper that...

Persistent link: https://www.econbiz.de/10005067717

Analysis of High Dimensional Multivariate Stochastic Volatility Models

Shephard, Neil; Chib, Siddhartha - Department of Economics, Oxford University - 1999

This paper is concerned with the fitting and comparison of high dimensional multivariate time series models with time varying correlations. The models considered here combine features of the classical factor model with those of the univariate stochastic volatility model. Specifically, a set of...

Persistent link: https://www.econbiz.de/10010605134

Martingale unobserved component models

Shephard, Neil - Economics Group, Nuffield College, University of Oxford - 2013

forecasting. The model generalises to unobserved component models where Gaussian shocks are replaced by martingale difference …

Persistent link: https://www.econbiz.de/10010823426

Martingale unobserved component models

Shephard, Neil - Department of Economics, Oxford University - 2013

inflation forecasting. The model generalises to unobserved component models where Gaussian shocks are replaced by martingale …

Persistent link: https://www.econbiz.de/10011004138

Forecasting with DSGE Models: The Role of Nonlinearities

Pichler, Paul - In: Topics in Macroeconomics 8 (2008) 1, pp. 1675-1675

This paper studies whether the out-of-sample forecasting performance of a dynamic stochastic general equilibrium (DSGE …

Persistent link: https://www.econbiz.de/10005086967

Inflation Targeting and Inflation Expectations: Evidence for Brazil and Turkey

Altug, Sumru; Cakmakli, Cem - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 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/10010859360

An improved historical simulation approach for estimating 'value at risk' of crude oil price

Fan, Ying; Jiao, Jian-Ling - In: International Journal of Global Energy Issues 25 (2006) 1/2, pp. 83-93

, HSAF. By comparing it with the HSAF approach, we give evidence to show that EDFAAF has a more effective forecasting power …

Persistent link: https://www.econbiz.de/10010670008

Heterogeneous Information about the Term Structure of Interest rates, Least-Squares Learning and Optimal Interest Rate Rules for Inflation Forecast Targeting

Eijffinger, Sylvester; Schaling, E.; Tesfaselassie, M.F. - Tilburg University, Center for Economic Research - 2004

In this paper we incorporate the term structure of interest rates in a standard inflation forecast targeting framework.Learning … central bank has imperfect knowledge and has to learn the private sector forecasting rule for short-term interest rates.In the … Evans and Honkapohja (2001), the learning scheme we investigate is that of least-squares learning (recursive OLS) using the …

Persistent link: https://www.econbiz.de/10011092574