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This study tested the unbiased pricing hypothesis, the theory of storage, and the ability of past futures’ prices to … 2021. Wavelets and a time-varying parameter model with Bayesian priors were the primary tools. The risk neutral version of … adverse version of the hypothesis. The tests of the theory of storage were inconclusive as many residuals were serially …
Persistent link: https://www.econbiz.de/10013305865
This paper develops a structural macroeconometric model of the world economy, disaggregated into thirty five national economies. This panel unobserved components model features a monetary transmission mechanism, a fiscal transmission mechanism, and extensive macrofinancial linkages, both within...
Persistent link: https://www.econbiz.de/10013102206
accuracy of the DESARIMA models with that of traditional univariate time-series benchmarks available in the literature. Our …
Persistent link: https://www.econbiz.de/10013100282
We provide a novel methodology for estimating time-varying weights in linear prediction pools, which we call dynamic … evidence of time variation in the pool's weights, reflecting the fact that the DSGE model with financial frictions produces … react in a timely fashion to changes in the environment, leading to real-time forecast improvements relative to other …
Persistent link: https://www.econbiz.de/10010414783
In a large sample of countries across different geographic regions and over a long period of time, we find limited …
Persistent link: https://www.econbiz.de/10011790688
In this paper we show that the exchange rates of some commodity exporter countries have the ability to predict the price of spot and future contracts of aluminum. This is shown with both insample and out-of-sample analyses. The theoretical underpinning of these results relies on the...
Persistent link: https://www.econbiz.de/10012845101
We provide a novel methodology for estimating time-varying weights in linear prediction pools, which we call dynamic … evidence of time variation in the pool's weights, reflecting the fact that the DSGE model with financial frictions produces … react in a timely fashion to changes in the environment, leading to real-time forecast improvements relative to other …
Persistent link: https://www.econbiz.de/10013044329
-frequency information. Pseudo real-time results show that this approach provides reliable and timely nowcasts of the world GDP annual growth …
Persistent link: https://www.econbiz.de/10013045125
We provide a novel methodology for estimating time-varying weights in linear prediction pools, which we call Dynamic … for output growth and inflation from 1992 to 2011. We find strong evidence of time variation in the pool's weights … environment, leading to real-time forecast improvements relative to other methods of density forecast combination, such as …
Persistent link: https://www.econbiz.de/10013046125
The Covid-19 crisis has shown how high-frequency data can help tracking economic turning points in real-time. Our paper …
Persistent link: https://www.econbiz.de/10014090107