Similar Search Results

Estimating stochastic volatility diffusion using conditional moments of integrated volatility

Bollerslev, Tim; Zhou, Hao - Federal Reserve Board (Board of Governors of the … - 2001

We exploit the distributional information contained in high-frequency intraday data in constructing a simple conditional moment estimator for stochastic volatility diffusions. The estimator is based on the analytical solutions of the first two conditional moments for the latent integrated...

Persistent link: https://www.econbiz.de/10005394096

Inferring policy objectives from economic outcomes

Dennis, Richard - Federal Reserve Bank of San Francisco - 2003

This paper stresses that estimated policy rules are reduced form equations that are silent on many important policy questions. To obtain a structural understanding of monetary policy it is necessary to estimate the policymaker's objective function, rather than its policy reaction function. With...

Persistent link: https://www.econbiz.de/10005401613

A munkaerő-piaci előrejelzések nemzetközi gyakorlata -áttekintés a kvantitatív módszerekről és felhasználásukról

Gács, János; Bíró, Anikó - 2012

forecasts and foreseeing structural changes". It presents a comprehensive overview of labour market forecasting activities … is to provide ideas, lessons and benchmarks for similar forecasting exercises in Hungary. After outlining the basic model … of quantitative labour market forecasting the paper identifies the technical conditions of model building and model …

Persistent link: https://www.econbiz.de/10010494517

A munkakereslet nemzetközi tendenciái

Horn, Dániel - 2011

. We take their model and compare it with several other specifications to test forecasting fit. The main conclusions of … of this latter are easier to interpret. Quasi-autoregressive models do not improve forecasting fit as much as expected. …

Persistent link: https://www.econbiz.de/10010494708

A munkaerő-piaci előrejelzések nemzetközi gyakorlata: Áttekintés a kvantitatív módszerekről és felhasználásukról 12 ország és az Európai Unió előrejelzési tapasztalatai alapján...

Gács, János; Bíró, Anikó - 2013

The study presents a comprehensive overview of labour market forecasting activities, mostly quantitative, based on … and benchmarks for similar forecasting exercises in Hungary. After outlining the basic model of quantitative labour market … forecasting the paper identifies the technical conditions of model building and model quantification, as well as the …

Persistent link: https://www.econbiz.de/10010494734

Rational Expectations in Price Setting. Tests Based on Norwegian Export Prices

Svendsen, Ingvild - Statistisk Sentralbyrå, Government of Norway - 1998

This paper uses imperfect competition as a basis for modelling the export price for an aggregated commodity produced by the Norwegian private mainland economy. The long run solution is analysed using a cointegration technique. The dynamics are modelled according to two different approaches; a...

Persistent link: https://www.econbiz.de/10004980524

Expectations in Export Price Formation Tests using Cointegrated VAR Models

Boug, Pål; Cappelen, Ådne; Swensen, Anders R. - Statistisk Sentralbyrå, Government of Norway - 2000

The formation of export prices is an area in which the linear quadratic adjustment cost (LQAC) model under rational expectations may be relevant in practice. This paper evaluates the empirical performance of the LQAC-model using Norwegian data and a new testing procedure suggested by Johansen...

Persistent link: https://www.econbiz.de/10004980930

Clustering and Joint Marketing in Retail Trade

Bohlin, Nils - Nationalekonomiska institutionen, Stockholms Universitet - 2001

This paper presents the idea that retail trade stories might cluster with their competitors to pool marketing expenses and thereby increase their individual visibility among consumers. In a model which presumes such a marketing technology we derive some new comparative statics results. In a...

Persistent link: https://www.econbiz.de/10005190643