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Numerical aspects of Bayesian VAR-modeling

Kadiyala, K. Rao; Karlsson, Sune - 1994

Persistent link: https://www.econbiz.de/10000885969

Confidence about inflation forecasts : tests of variance rationality

Batchelor, R. A.; Jonung, L. - 1989

Persistent link: https://www.econbiz.de/10000087688

A latent factor model of European exchange rate risk premia

Alexius, Annika; Sellin, Peter - 1997

Persistent link: https://www.econbiz.de/10000958083

Nonlinearities and regime shifts in financial time series

Åsbrink, Stefan E. - 1997

Persistent link: https://www.econbiz.de/10000958387

A new non-linear GARCH model

Hagerud, Gustaf E. - 1997

Persistent link: https://www.econbiz.de/10000958392

Essays on exchange rates, prices and interest rates

Alexius, Annika - 1997

Persistent link: https://www.econbiz.de/10000961609

Entrepreneurship : Theorie, Empirie, Politik

Fritsch, Michael - 2016

Persistent link: https://www.econbiz.de/10011386754

Finite dimensional Markovian realizations for stochastic volatility forward rate models

Björk, Tomas (contributor); Landén, Camilla (contributor); … - 2002 - [Elektronische Ressource], This version: May 6, 2002

we use the previously developed Hilbert space realization theory in order provide general necessary and sufficent … the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward …

Persistent link: https://www.econbiz.de/10001664233

Solution of macromodels with Hansen-Sargent robust policies : summary and some extensions

Giordani, Paolo (contributor); Söderlind, Paul (contributor) - 2002 - [Elektronische Ressource], Rev. May 15, 2003

We summarize some methods useful in formulating and solving Hansen-Sargent robust control problems, and suggest extensions to discretion and simple rules. Matlab, Octave, and Gauss software is provided. We illustrate these extensions with applications to the term structure of interest rates, the...

Persistent link: https://www.econbiz.de/10001664234

An application of the analogy between vector ARCH and vector random coefficient autoregressive models

He, Changli (contributor); Teräsvirta, Timo (contributor) - 2002 - [Elektronische Ressource]

In this paper we derive conditions for the conditional covariance matrix to be positive definite in a general vector ARCH model. The conditions can be easily extended to the diagonal vector GARCH model. For the general vector GARCH model, analytical expressions for the conditions in terms of the...

Persistent link: https://www.econbiz.de/10001714621