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Selective attention in exchange rate forecasting
Kapounek, Svatopluk; Kučerová, Zusana; Kočenda, Evžen - 2020
We analyze the exchange rate forecasting performance under the assumption of selective attention. Although currency … information. Our analysis includes more than 100,000 news articles relevant to the six most-traded foreign exchange currency pairs … for the presence of selective attention offer improved fitting and forecasting results. Specifically, we document a …
Persistent link: https://www.econbiz.de/10012320114
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Selective attention in exchange rate forecasting
Kapounek, Svatopluk; Kučerová, Zuzana; Kočenda, Evžen - 2021
We analyze the exchange rate forecasting performance under the assumption of selective attention. Although currency … information. Our analysis includes more than 100,000 news articles relevant to the six most-traded foreign exchange currency pairs … for the presence of selective attention offer improved fitting and forecasting results. Specifically, we document a …
Persistent link: https://www.econbiz.de/10012433963
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Selective Attention in Exchange Rate Forecasting
Kapounek, Svatopluk; Kocenda, Evžen; Kucerová, Zuzana - 2021
We analyze the exchange rate forecasting performance under the assumption of selective attention. Although currency … information. Our analysis includes more than 100,000 news articles relevant to the six most-traded foreign exchange currency pairs … for the presence of selective attention offer improved fitting and forecasting results. Specifically, we document a …
Persistent link: https://www.econbiz.de/10012581964
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Selective attention in exchange rate forecasting
Kapounek, Svatopluk; Kučerová, Zuzana; Kočenda, Evžen - In: The journal of behavioral finance : a publication of … 23 (2022) 2, pp. 210-229
Persistent link: https://www.econbiz.de/10013352996
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Selective Attention in Exchange Rate Forecasting
Kapounek, Svatopluk; Kučerová, Zuzana; Kočenda, Evžen - 2021
We analyze the exchange rate forecasting performance under the assumption of selective attention. Although currency … information. Our analysis includes more than 100,000 news articles relevant to the six most-traded foreign exchange currency pairs … for the presence of selective attention offer improved fitting and forecasting results. Specifically, we document a …
Persistent link: https://www.econbiz.de/10013245625
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Selective attention in exchange rate forecasting
Kapounek, Svatopluk; Kučerová, Zuzana; Kočenda, Evžen - 2020
Persistent link: https://www.econbiz.de/10012545809
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Forecasting with the Standardized Self-Perturbed Kalman Filter
Grassi, Stefano; Nonejad, Nima; Santucci de Magistris, Paolo - 2014
A modification of the self-perturbed Kalman filter of Park and Jun (1992) is proposed for the on-line estimation of models subject to parameter instability. The perturbation term in the updating equation of the state covariance matrix is weighted by the measurement error variance, thus avoiding...
Persistent link: https://www.econbiz.de/10010456954
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A New Index of Financial Conditions
Koop, Gary; Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2013
We use factor augmented vector autoregressive models with time-varying coefficients to construct a financial conditions index. The time-variation in the parameters allows for the weights attached to each financial variable in the index to evolve over time. Furthermore, we develop methods for...
Persistent link: https://www.econbiz.de/10011108998
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Forecasting with the Standardized Self-Perturbed Kalman Filter
Grassi, Stefano; Nonejad, Nima; Magistris, Paolo Santucci de - School of Economics and Management, University of Aarhus - 2014
A modification of the self-perturbed Kalman filter of Park and Jun (1992) is proposed for the on-line estimation of models subject to parameter instability. The perturbationterm in the updating equation of the state covariance matrix is weighted by the measurement error variance, thus avoiding...
Persistent link: https://www.econbiz.de/10010851262
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Forecasting with the Standardized Self-Perturbed Kalman Filter
Grassi, Stefano; Nonejad, Nima; Magistris, Paolo Santucci de - School of Economics, University of Kent - 2014
A modification of the self-perturbed Kalman filter of Park and Jun (1992) is proposed for the on-line estimation of models subject to parameter instability. The perturbation term in the updating equation of the state covariance matrix is weighted by the measurement error variance, thus avoiding...
Persistent link: https://www.econbiz.de/10010859431