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Long Memory Dynamics for Multivariate Dependence under Heavy Tails
Janus, Pawel; Koopman, Siem Jan; Lucas, André - Tinbergen Institute - 2011
We develop a new simultaneous time series model for volatility and dependence with long memory (fractionally integrated) dynamics and heavy-tailed densities. Our new multivariate model accounts for typical empirical features in financial time series while being robust to outliers or jumps in the...
Persistent link: https://www.econbiz.de/10009386532
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A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Creal, Drew; Koopman, Siem Jan; Lucas, André - Tinbergen Institute - 2010
We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...
Persistent link: https://www.econbiz.de/10008838568
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A General Framework for Observation Driven Time-Varying Parameter Models
Creal, Drew; Koopman, Siem Jan; Lucas, André - Tinbergen Institute - 2008
We propose a new class of observation driven time series models referred to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled score of the likelihood function. This approach provides a unified and consistent framework for introducing...
Persistent link: https://www.econbiz.de/10005209514
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What are the Effects of Monetary Policy Shocks? Evidence from Dollarized Countries
Willems, Tim - Tinbergen Institute - 2010
Traditional ways of analyzing the effects of monetary policy shocks via structural vector autoregressions require the use of unrealistic identifying assumptions: they either do not allow for a response of output and prices on impact of the shock, or they exclude contemporaneous values of these...
Persistent link: https://www.econbiz.de/10008838547
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Monetary Policy under a Fiscal Theory of Sovereign Default
Schabert, Andreas - Tinbergen Institute - 2009
This paper examines equilibrium determination under different monetary policy regimes when the government might default on its debt. We apply a cash-in-advance model where the government does not have access to non-distortionary taxation and does not account for initial outstanding debt when it...
Persistent link: https://www.econbiz.de/10008513223
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Pensions, Debt and Inflation Risk in a Monetary Union
Adema, Yvonne - Tinbergen Institute - 2010
This paper investigates the international spillovers of government debt and the associated risk of inflation within a … inflation at the cost of the funded country. In response to these conflicting interests about inflation, inflation risk may rise … with the level of debt in the PAYG country. Higher inflation risk harms both countries. Actually, in contrast to the debt …
Persistent link: https://www.econbiz.de/10008838553
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Regional Price Adjustment in a Monetary Union
Berk, Jan Marc; Swank, Job - Tinbergen Institute - 2002
, notwithstanding that inflation in some countries tends to converge towards the euro area level. Overa11, inflation persistence has …
Persistent link: https://www.econbiz.de/10005504932
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Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series
Koopman, Siem Jan; Bos, Charles S. - Tinbergen Institute - 2002
concerned with the modelling and forecasting of two U.S. macroeconomic time series: inflation and industrial production. …
Persistent link: https://www.econbiz.de/10005209436
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Money - Inflation Nexus in Indonesia: Evidence from a P-Star Analysis
Anglingkusumo, Reza - Tinbergen Institute - 2005
crisis is empirically examined. The standard model for the monetary analysis of inflation, i.e. the P-Star model by Hallman … long run dynamics of CPI inflation in Indonesia remarkably weIl. Hence, there is an empirical support for the assertion …
Persistent link: https://www.econbiz.de/10005144495
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Which Brands gain Share from which Brands? Inference from Store-Level Scanner Data
Oest, Rutger van; Franses, Philip Hans - Tinbergen Institute - 2003
Market share models for weekly store-level data are useful to understand competitive structures by delivering own and cross price elasticities. These models can however not be used to examine which brands lose share to which brands during a specific period of time. It is for this purpose that we...
Persistent link: https://www.econbiz.de/10005137001