Similar Search Results

Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form

DUFOUR, Jean-Marie; JOUINI, Tarek - Centre Interuniversitaire de Recherche en Économie … - 2005

stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. General conditions …

Persistent link: https://www.econbiz.de/10008671561

Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form

DUFOUR, Jean-Marie; TAREK, Jouini - Département de Sciences Économiques, Université de … - 2005

stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. General conditions …

Persistent link: https://www.econbiz.de/10005133208

Asymptotic distribution of a simple linear estimator for VARMA models in echelon form

Dufour, Jean-Marie; Jouini, Tarek - Centre Interuniversitaire de Recherche en Analyse des … - 2005

stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. General conditions … autorégressif-moyenne-mobile (VARMA) stationnaire et inversible, formulé sous la forme échelon. Nous donnons des conditions …

Persistent link: https://www.econbiz.de/10005100706

Estimation and forecasting using mixed-frequency DSGE models

Meyer-Gohde, Alexander; Shabalina, Ekaterina - 2022

In this paper, we propose a new method to forecast macroeconomic variables that combines two existing approaches to mixed-frequency data in DSGE models. The first existing approach estimates the DSGE model in a quarterly frequency and uses higher frequency auxiliary data only for forecasting...

Persistent link: https://www.econbiz.de/10013471326

Mixed Frequency Structural Models: Estimation, and Policy Analysis

Foroni, Claudia; Marcellino, Massimiliano - 2013

scale of a DSGE model and that of the time series data used for its estimation generally creates identfication problems …, introduces estimation bias and distorts the results of policy analysis. On the constructive side, we prove that the use of mixed … frequency data, combined with a proper estimation approach, can alleviate the temporal aggregation bias, mitigate the …

Persistent link: https://www.econbiz.de/10012143827

Mixed Frequency Structural VARs

Foroni, Claudia; Marcellino, Massimiliano - 2014

estimation can have serious consequences for identification, estimation and interpretation of the impulse response functions …. However, the use of mixed frequency data, combined with a proper estimation approach, can alleviate the temporal aggregation …

Persistent link: https://www.econbiz.de/10012143839

Model-free measurement of exchange market pressure

Klaassen, Franc; Jager, Henk - 2006

If there is exchange market pressure (EMP), monetary authorities can use the interest rate and official interventions to offset this depreciation tendency, or they can let the exchange rate change. We introduce a new approach to derive how these three variables should be combined to measure EMP....

Persistent link: https://www.econbiz.de/10011350376

Estimation of impulse response functions when shocks are observed at a higher frequency than outcome variables

Chudik, Alexander; Georgiadis, Georgios - 2019

This paper proposes mixed-frequency distributed-lag (MFDL) estimators of impulse response functions (IRFs) in a setup where (i) the shock of interest is observed, (ii) the impact variable of interest is observed at a lower frequency (as a temporally aggregated or sequentially sampled variable),...

Persistent link: https://www.econbiz.de/10012058985

Estimation and forecasting using mixed-frequency DSGE models

Meyer-Gohde, Alexander; Shabalina, Ekaterina - 2022

Persistent link: https://www.econbiz.de/10013465707

A comparative analysis of hedging determination for three alternative international equity index futures

Lin, Fu-Lai - In: Review of Pacific Basin financial markets and policies … 26 (2023) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10014305177

1
2
3
4
5
6
7
8
9
10
Next
Last