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In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the bivariate framework and discuss the simple, elliptical and Archimedean classes of copulae. Since the copulae model the dependency structure between random variables, next we explain the...
Persistent link: https://www.econbiz.de/10010274147
My research over this period has focused on the theory and application of non-linear time series forecasting. The purpose of time series forecasting is to predict apparently random behavior about which we have little or no knowledge. A time series is a set of values that change in time, for...
Persistent link: https://www.econbiz.de/10009435492
Persistent link: https://www.econbiz.de/10005548317
Persistent link: https://www.econbiz.de/10005436080
Empirical evidence on the distribution of relative price changes almost invariably reveals high kurtosis and a tendency … toward right-skewness. Simple mixed distribution models including volatile and infrequently adjusted prices can account for …
Persistent link: https://www.econbiz.de/10005599288
This paper assesses the performance of three types of commodity price forecasts—those based on judgment, those relying …
Persistent link: https://www.econbiz.de/10005599405
Both national accounts and balance of payments are based on multiple, complex source data and typically undergo several routine revisions as more and better source data are incorporated into the final estimates. As a result, neither dataset can be subjected directly to the usual statistical...
Persistent link: https://www.econbiz.de/10005599554
This paper develops an approach for forecasting in Thailand core inflation. The key innovation is to anchor the projections derived from the short-term time-series properties of core inflation to its longer-run evolution. This involves combining a short-term model, which attempts to distill the...
Persistent link: https://www.econbiz.de/10005605247
This paper uses six waves of the Bank of Italy Survey of Households Income and Wealth to explore the dynamics of asset portfolio ownership. The household asset portfolio decision is a choice among discrete alternatives, and I model the problem in a multinomial framework. I focus on a...
Persistent link: https://www.econbiz.de/10005605275
We study empirically daily French and German interest rate changes since the Basle-Nyborg agreement of September 1987. In particular, we ask whether the shock associated with German unification altered the degree of leadership of German monetary policy in the ERM. We conclude that Germany’s...
Persistent link: https://www.econbiz.de/10005605363