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Filling in the GAAPs in individual analysts' street earnings forecasts

Bratten, Brian; Larocque, Stephannie; Yohn, Teri Lombardi - In: Management science : journal of the Institute for … 69 (2023) 8, pp. 4790-4809

Persistent link: https://www.econbiz.de/10014339457

A comparative analysis of macroeconomic forecasts accuracy in Spain and Romania

Bratu, Mihaela - In: UTMS journal of economics / University of Tourism and … 6 (2015) 1, pp. 67-74

In this study a comparative analysis of the forecasts accuracy for Spain (developed country) and Romania (developing … the Spanish institutes provided more accurate forecasts, for the rest of the variables (inflation rate, private … in Romania, E2 provided more accurate forecasts. In Spain, FUNCAS offered better forecasts for GDP growth and private …

Persistent link: https://www.econbiz.de/10011298802

Stock market illiquidity's predictive role over economic growth : the Australian evidence

Rai, Alan - In: Review of Pacific Basin financial markets and policies 18 (2015) 2, pp. 1-30

Persistent link: https://www.econbiz.de/10011300963

The impact of the covid-19 pandemic on merchandise trade in commonwealth countries

Escaith, Hubert; Khorana, Sangeeta - 2021

Persistent link: https://www.econbiz.de/10012692737

A general family of autoregressive conditional duration models applied to high-frequency financial data

Cunha, Danúbia R.; Vila, Roberto; Saulo, Helton; … - In: Journal of Risk and Financial Management 13 (2020) 3, pp. 1-20

In this paper, we propose a general family of Birnbaum–Saunders autoregressive conditional duration (BS-ACD) models based on generalized Birnbaum-Saunders (GBS) distributions, denoted by GBS-ACD. We further generalize these GBS-ACD models by using a Box-Cox transformation with a shape parameter...

Persistent link: https://www.econbiz.de/10012611276

Capturing Order Book Dynamics in the Interbank EUR/PLN Spot Market

Bień-Barkowska, Katarzyna - In: Emerging Markets Finance and Trade 50 (2014) 1, pp. 93-117

In this paper, I examine order submissions and cancellations in the Reuters Dealing 3000 Spot Matching System, the main order-driven market for interbank trading of the euro/złoty (EUR/PLN) currency pair. I generalize the asymmetric autoregressive conditional duration (AACD) model of Bauwens...

Persistent link: https://www.econbiz.de/10010774253

A Bivariate Copula-based Model for a Mixed Binary-Continuous Distribution: A Time Series Approach

Bień-Barkowska, Katarzyna - In: Central European Journal of Economic Modelling and … 4 (2012) 2, pp. 117-142

In this paper we present a copula-based model for a binary and a continuous variable in a time series setup. Within this modeling framework both marginals can be equipped with their own dynamics whereas the contemporaneous dependence between both processes can be flexibly captured via a copula...

Persistent link: https://www.econbiz.de/10010875630

Generalized duration models and optimal estimation using estimating functions

Thavaneswaran, Aerambamoorthy; Ravishanker, Nalini; … - In: Annals of the Institute of Statistical Mathematics 67 (2015) 1, pp. 129-156

This article introduces a class of generalized duration models and shows that the autoregressive conditional duration (ACD) models and stochastic conditional duration (SCD) models discussed in the literature are special cases. The martingale estimating functions approach, which provides a...

Persistent link: https://www.econbiz.de/10011152092

Modelling Financial High Frequency Data Using Point Processes

Luc, BAUWENS; Nikolaus, HAUTSCH - Institut de Recherche Économique et Sociale (IRES), … - 2006

In this chapter written for a forthcoming Handbook of Financial Time Series to be published by Springer-Verlag, we review the econometric literature on dynamic duration and intensity processes applied to high frequency financial data, which was boosted by the work of Engle and Russell (1997) on...

Persistent link: https://www.econbiz.de/10004984822

Modelling financial high frequency data using point processes

BAUWENS, Luc; HAUTSCH, Nikolaus - Center for Operations Research and Econometrics (CORE), … - 2006

Persistent link: https://www.econbiz.de/10005043712