Showing 1 - 10 of 480
UK regional data on GDP and the GDP deflator are analysed to extract information on underlying demand and supply shocks as well as aggregate demand and supply shocks. Identification is achieved using long run restrictions, based on a theoretical model. The main results are that the supply shocks...
Persistent link: https://www.econbiz.de/10005003318
UK regional data on GDP and the GDP deflator are analysed to extract information on underlying demand and supply shocks as well as aggregate demand and supply shocks. Identification is achieved using long run restrictions, based on a theoretical model. The main results are that the supply shocks...
Persistent link: https://www.econbiz.de/10014863534
Persistent link: https://www.econbiz.de/10001432892
Persistent link: https://www.econbiz.de/10001751669
This paper shows how the dynamic linear model with fixed regressors can be efficiently estimated. This dynamic model can be used to distinguish spurious correlation from state dependence and we show that the integrated likelihood estimator is adaptive for any asymptotics with T increasing where...
Persistent link: https://www.econbiz.de/10001714098
Persistent link: https://www.econbiz.de/10001675713
We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...
Persistent link: https://www.econbiz.de/10014047091
We propose a flexible GARCH-type model for the prediction of volatility in financial time series. The approach relies on the idea of using multivariate B-splines of lagged observations and volatilities. Estimation of such a B-spline basis expansion is constructed within the likelihood framework...
Persistent link: https://www.econbiz.de/10014051065
In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose nonparametric kernel estimators of the aforementioned...
Persistent link: https://www.econbiz.de/10014052487
In this paper we introduce a new method to describe dynamical patterns of the real exchange rate movements time series and to analyze contagion in currency crisis. The method combines the tools of Symbolic Time Series Analysis with the nearest neighbor single linkage clustering algorithm. Data...
Persistent link: https://www.econbiz.de/10014052704