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Genetic algorithm estimation of interest rate term

Gimeno Nogués, Ricardo; Nave Pineda, Juan M. - 2006

The term structure of interest rates is an instrument that gives us the necessary information for valuing deterministic financial cash flows, measuring the economic market expectations and testing the effectiveness of monetary policy decisions. However, it is not directly observable and needs to...

Persistent link: https://www.econbiz.de/10012530147

The global impact of the Russian financial crisis: evidence using granger causality and impulse reponses in a VAR model

Khalid, Ahmed; Rajaguru, Gulasekaran - 2007

construct a VAR to test the interlinkages among different market and different regions using the Granger causalfiy. Later, we …

Persistent link: https://www.econbiz.de/10009441618

Was financial market contagion the source of economic crisis in Asia? Evidence using a multivariate VAR model

Khalid, Ahmed M; Kawai, Masahiro - 2003

currency, stock and money markets, respectively. We use a sample of nine East Asian countries, including Japan, construct a VAR …

Persistent link: https://www.econbiz.de/10009441798

The Effects of Monetary Policy in the Czech Republic: An Empirical Study

Borys, Magdalena M.; Horvath, Roman - 2008

within VAR, structural VAR, and the Factor-Augmented VAR framework. We document a well-functioning transmission …

Persistent link: https://www.econbiz.de/10009477381

The Unconditional and Conditional Exchange Rate Exposure of U.S. Firms

Ericsson, Jan; Huang, Xiao; Mazzotta, Stefano - 2007

This paper studies the characteristics of firm level equity volatility. There is a lack of consensus in the finance literature as to the relative statistical and economic significance of the leverage and feedback effects on equity volatility. We provide a dynamic framework to investigate...

Persistent link: https://www.econbiz.de/10009459041

The Relationships Among Monetry Policy, Stock Prices and the Exchange Rate

Ivrendi, Mehmet - 2005

the Vector Error Correction Model (VECM) , Multivariate VAR (p), Multivariate-VARX (p) and Multivariate VAR (p)-GARCH (q …

Persistent link: https://www.econbiz.de/10009431226

Robust Inference with Quantile Regression in Stochastic Volatility Models withapplication to Value at Risk calculation

Saha, Paramita - 2008

at Risk (VaR) calculation entails a numerically indirectprocedure. The Quantile Regression (QR) estimation is an …-KF) based on the QR approach thatcan be used to obtain robust SV model parameter estimates as well as VaR estimates. TheRQMM is … existing Nonlinear Filtering (NF) scheme.This approach is used in likelihood and VaR computations. This algorithm provides …

Persistent link: https://www.econbiz.de/10009431241

Trade Linkages and Output-Multiplier Effects: A Structural VAR

Abeysinghe, Tilak; Forbes, Kristin J. - 2002

This paper develops a structural VAR model to measure how a shock to one country can affect the GDP of other countries …

Persistent link: https://www.econbiz.de/10009433020

Strategic interactions and price dynamics in the global oil market

Alonso Álvarez, Irma; Di Nino, Virginia; Venditti, Fabrizio

the implications of the model through a Structural Vector Auto Regression (VAR) that separates non-OPEC and OPEC …

Persistent link: https://www.econbiz.de/10012523844

Fiscal expenditure spillovers in the euro area: An empirical and model-based assessment

Alloza Frutos, Mario; Ferdinandusse, Marien; Jacquinot, … - 2020

Este documento describe los principales canales de transmisión de los efectos desbordamiento (spillovers) de las políticas fiscales nacionales a otros países de la zona del euro y analiza su magnitud utilizando diferentes modelos. En el contexto de la Unión Económica y Monetaria (UEM), los...

Persistent link: https://www.econbiz.de/10012524802