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Moments, shocks and spillovers in Markov switching VAR models
Dijk, Dick van; Kole, Erik - 2021
To investigate how economies, financial markets or institutions can deal with stress, we nowadays often analyze the effects of shocks conditional on a recession or a bear market. MSVAR models are ideally suited for such analyses because they combine gradual movement with sudden switches. In this...
Persistent link: https://www.econbiz.de/10012621564
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Forecasting day-ahead electricity prices : utilizing hourly prices
Raviv, Eran; Bouwman, Kees E.; Dijk, Dick van - 2013
Persistent link: https://www.econbiz.de/10009765836
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Forecasting interest rates with shifting
Dijk, Dick van; Koopman, Siem Jan; Wel, Michel van der; … - 2012
Persistent link: https://www.econbiz.de/10009723022
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An alternative Bayesian approach to structural breaks in time series models
Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick van - 2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10011383033
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Models of investor forecasting behavior : experimental evidence
Bonetto, Federico; Cheriyan, Vinod; Kleywegt, Anton J. - In: Journal of risk and financial management : JRFM 11 (2018) 1, pp. 1-41
Different forecasting behaviors affect investors’ trading decisions and lead to qualitatively different asset price … forecasting future price changes, and the nature of their confidence when price changes are forecast, determine whether price … forecasting models of all participants that best fit the observed forecasting data were of the type that cause price bubbles and …
Persistent link: https://www.econbiz.de/10011854982