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Chaos in Economics and Finance
Guegan, Dominique - HAL - 2009
This paper focuses on the use of dynamical chaotic systems in Economics and Finance. In these fields, researchers employ different methods from those taken by mathematicians and physicists. We discuss this point. Then, we present statistical tools and problems which are innovative and can be...
Persistent link: https://www.econbiz.de/10010738625
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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/10013465707
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Optimal forecast under structural breaks
Lee, Tae-hwy; Parsaeian, Shahnaz; Ullah, Aman - 2022
Persistent link: https://www.econbiz.de/10012888324
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Laplace estimator of integrated volatility when sampling times are endogenous
Cui, Wenhao - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 651-663
Persistent link: https://www.econbiz.de/10013534035
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Estimating the implied probabilities in the tennis betting market : a new normalization procedure : comment
Berkowitz, Jason P.; Depken, Craig A.; Gandar, John M. - In: International journal of sport finance 18 (2023) 1, pp. 54-58
Persistent link: https://www.econbiz.de/10014233605
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Structural breaks in seemingly unrelated regression models
Parsaeian, Shahnaz - 2023
Persistent link: https://www.econbiz.de/10014414231
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Time varying three pass regression filter
Marcellino, Massimiliano; Dendramis, Yiannis; … - 2023
Persistent link: https://www.econbiz.de/10014383819
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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/10014433826
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Time-varying higher moments, economic policy uncertainty and renminbi exchange rate volatility
Wu, Xinyu; Mei, Xueting; Yin, Xuebao - In: Journal of risk 25 (2023) 5, pp. 71-99
Persistent link: https://www.econbiz.de/10014370725
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Inference and forecasting for continuous-time integer-valued trawl processes
Bennedsen, Mikkel; Lunde, Asger; Shephard, Neil G.; … - In: Journal of econometrics 236 (2023) 2, pp. 1-21
Persistent link: https://www.econbiz.de/10014365470