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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

Towards full-fledged inflation targeting monetary policy regime in Mauritius

Madhou, Ashwin; Sewak, Tayushma; Moosa, Imad A.; … - In: Journal of risk and financial management : JRFM 14 (2021) 3/126, pp. 1-18

the current monetary policy framework and the challenges in transitioning towards FFIT. Given that forecasting is central … to FFIT, we develop a practical model-based forecasting and policy analysis system (FPAS) to support transition to FFIT …

Persistent link: https://www.econbiz.de/10012486242

Gold against the machine

Plakandaras, Vasilios; Gkonkas, Periklēs; … - In: Computational economics 57 (2021) 1, pp. 5-28

Persistent link: https://www.econbiz.de/10012486908

Forecasting bank failures and stress testing : a machine learning approach

Gkonkas, Periklēs; Papadimitriou, Theophilos; … - In: International journal of forecasting 34 (2018) 3, pp. 440-455

Persistent link: https://www.econbiz.de/10012031002

Demystifying the Meese-Rogoff puzzle : structural breaks or measures of forecasting accuracy?

Burns, Kelly; Moosa, Imad A. - In: Applied economics 49 (2017) 48, pp. 4897-4910

Persistent link: https://www.econbiz.de/10011844813

The random walk as a forecasting benchmark : drift or no drift?

Moosa, Imad A.; Burns, Kelly - In: Applied economics 48 (2016) 43/45, pp. 4131-4142

Persistent link: https://www.econbiz.de/10011639995

Cointegration as an explanation for the Meese-Rogoff puzzle

Moosa, Imad A.; Vaz, John J. - In: Applied economics 48 (2016) 43/45, pp. 4201-4209

Persistent link: https://www.econbiz.de/10011640012

Forecasting the GDP of a small open developing economy : an application of FAVAR models

Madhou, Ashwin; Sewak, Tayushma; Moosa, Imad A.; … - In: Applied economics 52 (2020) 17, pp. 1845-1856

Persistent link: https://www.econbiz.de/10012197618

Forecasting inflation in a small open developing economy

Madhou, Ashwin; Sewak, Tayushma; Moosa, Imad A.; … - In: Applied economics 52 (2020) 20, pp. 2123-2134

Persistent link: https://www.econbiz.de/10012197681

Yield curve and recession forecasting in a Machine Learning framework

Gkonkas, Periklēs; Papadimitriou, Theophilos; … - In: Computational economics 45 (2015) 4, pp. 635-645

Persistent link: https://www.econbiz.de/10011440977