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Variable selection and inference for multi-period forecasting problems

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009

direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …

Persistent link: https://www.econbiz.de/10003807908

Forecasting random walks under drift instability

Pesaran, M. Hashem (contributor); Pick, Andreas (contributor) - 2008

Persistent link: https://www.econbiz.de/10003711763

Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity

Lütkepohl, Helmut; Velinov, Anton - 2014

) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching …

Persistent link: https://www.econbiz.de/10010249640

Imputing monthly values for quarterly time series : an application performed with Swiss business cycle data

Abberger, Klaus; Graff, Michael; Müller, Oliver; … - 2022

This paper documents a comparative application of algorithms to deal with the problem of missing values in higher frequency data sets. We refer to Swiss business tendency survey (BTS) data which are conducted in both monthly and quarterly frequency, where an information sub-set is collected at...

Persistent link: https://www.econbiz.de/10013482570

Measuring market expectations

Baumeister, Christiane - 2021

evidence for monetary policy and inflation expectations with a special emphasis on market-specific characteristics that …

Persistent link: https://www.econbiz.de/10012622575

Long memory and data frequency in financial markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2017

. The results indicate that persistence is higher at lower frequencies, for both returns and their volatility. This is true …

Persistent link: https://www.econbiz.de/10011619676

Dynamic factor models and fractional integration : with an application to US real economic activity

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2024

This paper makes a twofold contribution, First, it develops the dynamic factor model of Barigozzi et al. (2016) by allowing for fractional integration instead of imposing the classical dichotomy between I(0) stationary and I(1) non-stationary series. This more general setup provides valuable...

Persistent link: https://www.econbiz.de/10015125374

Persistence and nonlinearities in the US Federal Funds rate

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2025

This paper examines persistence and nonlinearities in the US Federal Funds rate over the period from July 1954 to April …, they point towards significant nonlinearities in the stochastic behaviour of the series. Both are important properties of … the Federal Funds rate, mainly reflecting underlying inflation persistence and policy shifts respectively. …

Persistent link: https://www.econbiz.de/10015407787

Cointegration analysis with mixed-frequency data

Seong, Byeongchan (contributor); Ahn, Sung K. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003496561

Central bank policy rates : are they cointegrated?

Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2017

This paper analyses the stochastic properties of and the bilateral linkages between the central bank policy rates of the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques respectively. The univariate analysis suggests a high degree of...

Persistent link: https://www.econbiz.de/10011619627