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Estimation and forecasting using mixed-frequency DSGE models

Meyer-Gohde, Alexander; Shabalina, Ekaterina - 2022

higher frequency auxiliary data only for forecasting (see Giannone, Monti and Reichlin (2016)). The second method transforms … our method substantially decreases forecasting errors for recessions, but casting the model in a monthly frequency …

Persistent link: https://www.econbiz.de/10013471326

Should Music Labels Pay for Radio Airplay? Investigating the Relationship Between Album Sales and Radio Airplay

Montgomery, Alan L.; Moe, Wendy W. - 2002

Managers in the music industry closely monitor both radio airplay of an album as well as the album's sales. Their interest in radio airplay is due to the belief that airplay can increase an album’s sales. Therefore it is natural for managers to attempt to influence radio airplay so as to...

Persistent link: https://www.econbiz.de/10009441155

Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016

In recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporating the long memory in stochastic volatility (SV)...

Persistent link: https://www.econbiz.de/10011526121

Real estate appraisal: a review of valuation methods

Pagourtzi, Elli; Assimakopoulos, Vassilis; … - In: Journal of Property Investment & Finance 21 (2003) 4, pp. 383-401

The valuation of real estate is a central tenet for all businesses. Land and property are factors of production and, as with any other asset, the value of the land flows from the use to which it is put, and that in turn is dependent upon the demand (and supply) for the product that is produced....

Persistent link: https://www.econbiz.de/10014898052

Financial applications of ARMA models with GARCH errors

Ghahramani, M.; Thavaneswaran, A. - In: The Journal of Risk Finance 7 (2006) 5, pp. 525-543

hypothesis testing for stationary ARMA( p , q ) processes with GARCH errors is studied. Forecasting of ARMA( p , q ) processes …

Persistent link: https://www.econbiz.de/10014901409

River Flow Estimation and Forecasting by Using Two Different Adaptive Neuro-Fuzzy Approaches

Sanikhani, Hadi; Kisi, Ozgur - In: Water Resources Management 26 (2012) 6, pp. 1715-1729

-GP) and ANFIS with sub clustering (ANFIS-SC), were used in one-month ahead streamflow forecasting and the results were … Stream in the Firat-Dicle Basin of Turkey were used in the study. The effect of periodicity on the model’s forecasting … slightly better than the ANFIS-GP model in streamflow forecasting. Copyright Springer Science+Business Media B.V. 2012 …

Persistent link: https://www.econbiz.de/10010794044

Financial applications of ARMA models with GARCH errors

Ghahramani, M.; Thavaneswaran, A. - In: Journal of Risk Finance 7 (2006) November, pp. 525-543

hypothesis testing for stationary ARMA(p, q) processes with GARCH errors is studied. Forecasting of ARMA(p, q) processes with …

Persistent link: https://www.econbiz.de/10005002456

A new approach to bad news effects on volatility: the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH)

Curto, José Dias; Tomaz, João; Pinto, José Castro - In: Portuguese Economic Journal 8 (2009) 1, pp. 23-36

Persistent link: https://www.econbiz.de/10005178812

Generalized Integer-Valued Autoregression

Brännäs, Kurt; Hellström, Jörgen - Institutionen för Nationalekonomi, Umeå Universitet - 1999

first and second order both conditional and unconditional moments can be obtained. Hence estimation, testing and forecasting …

Persistent link: https://www.econbiz.de/10005198011

The Impact of Jumps and Leverage in Forecasting Co-Volatility

Asai, Manabu; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2015

__Abstract__ The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects … for forecasting weekly and monthly horizons. …

Persistent link: https://www.econbiz.de/10011274348