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Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices

Haldrup; Niels; Nielsen, Morten Oerregaard - School of Economics and Management, University of Aarhus - 2005

The functioning of electricity markets has experienced increasing complexity as a result of deregulation in recent years. Consequently this affects the multilateral price behaviour across regions with physical exchange of power. It has been documented elsewhere that features such aslong memory...

Persistent link: https://www.econbiz.de/10005114085

Putting the New Keynesian DSGE model to the real-time forecasting test

Kolasa, Marcin; Rubaszek, Michał; Skrzypczyński, Paweł - European Central Bank - 2009

. Nevertheless, their forecasting properties are still barely explored. We fill this gap by comparing the quality of real … priors from a DSGE model. We show that the analyzed DSGE model is relatively successful in forecasting the US economy in the … accurate short-term forecasts for interest rates. Conditional on experts' now casts, however, the forecasting power of the DSGE …

Persistent link: https://www.econbiz.de/10008458417

Maximum likelihood estimation of factor models on data sets with arbitrary pattern of missing data

Bańbura, Marta; Modugno, Michele - European Central Bank - 2010

In this paper we propose a methodology to estimate a dynamic factor model on data sets with an arbitrary pattern of missing data. We modify the Expectation Maximisation (EM) algorithm as proposed for a dynamic factor model by Watson and Engle (1983) to the case with general pattern of missing...

Persistent link: https://www.econbiz.de/10008459128

Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns

Tsiaras, Leonidas - School of Economics and Management, University of Aarhus - 2010

Models for the conditional joint distribution of the U.S. Dollar/Japanese Yen and Euro/Japanese Yen exchange rates, from November 2001 until June 2007, are evaluated and compared. The conditional dependency is allowed to vary across time, as a function of either historical returns or a...

Persistent link: https://www.econbiz.de/10008462030