Similar Search Results

The case for higher frequency inflation expectations

Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2011

I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused on three survey measures of expected inflation: the...

Persistent link: https://www.econbiz.de/10009650037

High-dimensional Holt-Winters trend model : fast estimation and prediction

Sbrana, Giacomo - In: Journal of the Operational Research Society 72 (2021) 3, pp. 701-713

Persistent link: https://www.econbiz.de/10012500983

Analyzing and Exploiting Asymmetries in the News Impact Curve

Haas, Markus; Mittnik, Stefan; Paolella, Marc S.; … - Institut für Schweizerisches Bankwesen <Zürich> - 2006

The recently proposed class of MixN-GARCH models, which couple a mixed normal distributional structure with linked GARCH-type dynamics, has been shown to offer a plausible decomposition of the contributions to volatility, as well as admirable out-of-sample forecasting performance, for financial...

Persistent link: https://www.econbiz.de/10005858753

On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratanovich – Kalman – Bucy filters for Gaussian linear investment returns distribution and 2. Particle filters for non-Gaussian non-linear investment returns distribution

Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013

The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...

Persistent link: https://www.econbiz.de/10011260821

Essays on Expectations and the Econometrics of Asset Pricing

Lof, Matthijs - Volkswirtschaftliche Fakultät, … - 2013

heterogeneous agent models are able to generate noncausal asset prices. Chapter 5 considers the estimation of a class of standard …

Persistent link: https://www.econbiz.de/10011109608

Bayesian Vars; A Survey of the Recent Literature with An Application to the European Monetary System

Ciccarelli, Matteo; Rebucci, Alessandro - International Monetary Fund (IMF) - 2003

This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs …). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman … issues in forecasting and structural analysis. An application to the estimation of a system of time-varying reaction …

Persistent link: https://www.econbiz.de/10005825693

Time series modelling using TSMod 3.24

Bos, Charles S. - 2003

TSMod is an interactive program which allows the user to estimate a broad range of univariate models. This review describes the possibilities of the package, from a user's perspective and with a secondary focus on the numerical accuracy of the program.

Persistent link: https://www.econbiz.de/10011334344

Multicollinearity : how common factors cause Type 1 errors in multivariate regression

Kalnins, Arturs - In: Strategic management journal 39 (2018) 8, pp. 2362-2385

Persistent link: https://www.econbiz.de/10011973507

Modelling tourists' length of stay : a call for a "back-to-basic" approach

Thrane, Christer - In: Tourism economics : the business and finance of tourism … 22 (2016) 6, pp. 1352-1366

Persistent link: https://www.econbiz.de/10011711860

Historical econometrics : instrumental variables and regression discontinuity designs

Caicedo, Felipe Valencia - 2020

Persistent link: https://www.econbiz.de/10012299251