Showing 1 - 10 of 52
We derive Lagrange Multiplier and Likelihood Ratio specifi cation tests for the null hypotheses of multivariate normal and Student t innovations using the Generalised Hyperbolic distribution as our alternative hypothesis. We decompose the corresponding Lagrange Multiplier-type tests into...
Persistent link: https://www.econbiz.de/10014199670
We show that the distribution of any portfolio whose components jointly follow a location-scale mixture of normals can be characterised solely by its mean, variance and skewness. Under this distributional assumption, we derive the mean-variance-skewness frontier in closed form, and show that it...
Persistent link: https://www.econbiz.de/10014207487
In this paper we propose methods to construct confidence intervals for the bias of the two-stage least squares estimator, and the size distortion of the associated Wald test in instrumental variables models. Importantly our framework covers the local projections — instrumental variable model...
Persistent link: https://www.econbiz.de/10014109342
The recent economic crisis has altered the dynamics of economic series and, as a consequence, introduced uncertainty in seasonal adjustment of recent years. This problem was discussed in recent workshops at the European Central Bank and at Eurostat in the context of adjustment of the Euro Area...
Persistent link: https://www.econbiz.de/10013092642
validation of dynamic stochastic general equilibrium (DSGE) theories. Along the lines of Giannone et al. (2006), we use the state …, potentially helping the general equilibrium environment improve forecast accuracy. In turn, the DSGE model is considered to be …
Persistent link: https://www.econbiz.de/10013144532
This paper proposes a parsimonious approach to test non-linear dependence on the conditional mean and variance of hedge funds with respect to several market factors. My approach introduces non-linear dependence by means of empirically relevant polynomial functions of the factors. For comparison...
Persistent link: https://www.econbiz.de/10014196881
This paper develops a dynamic general equilibrium model in which the public and the private sector interact in the …
Persistent link: https://www.econbiz.de/10014202525
We study and measure uncertainty in the minutes of the meetings of the board of governors of the Central Bank of Mexico and relate it to monetary policy variables. In particular, we construct two uncertainty indices for the Spanish version of the minutes using unsupervised machine learning...
Persistent link: https://www.econbiz.de/10014076959
This paper studies the dynamics of the propagation of regional business cycle shocks in Europe and uncovers new features of its underlying mechanisms. To address the lack of high frequency data at the regional level, we propose a new method to measure time-varying synchronization in small...
Persistent link: https://www.econbiz.de/10012963087
This paper estimates the impact of government spending shocks on economic activity during periods of high and low uncertainty and during periods of boom and recession. We find that government spending shocks have larger impacts on output in booms than in recessions and larger impacts during...
Persistent link: https://www.econbiz.de/10012949220