Showing 1 - 10 of 158
We show that the adaptive Lasso (aLasso) and the adaptive group Lasso (agLasso) are oracle efficient in stationary vector autoregressions where the number of parameters per equation is smaller than the number of observations. In particular, this means that the parameters are estimated...
Persistent link: https://www.econbiz.de/10010851261
show that a bubble model in which expected returns are constant can explain the predictability of stock returns from the …
Persistent link: https://www.econbiz.de/10008462020
We develop a new methodology for estimating time-varying factor loadings and conditional alphas based on nonparametric techniques. We test whether long-run alphas, or averages of conditional alphas over the sample, are equal to zero and derive test statistics for the constancy of factor...
Persistent link: https://www.econbiz.de/10005198853
In this work, we make use of the shifting-mean autoregressive model which is a flexible univariate nonstationary model. It is suitable for describing characteristic features in inflation series as well as for medium-term forecasting. With this model we decompose the inflation process into a...
Persistent link: https://www.econbiz.de/10005787545
inflation rate; and (iv) predictability of forecast errors at different horizons by means of the spread between the short- and …
Persistent link: https://www.econbiz.de/10005114129
This paper proposes a methodology for modelling time series of realized covariance matrices in order to forecast multivariate risks. The approach allows for flexible dynamic dependence patterns and guarantees positive definiteness of the resulting forecasts without imposing parameter...
Persistent link: https://www.econbiz.de/10005440044
We study the short-term price behavior of Phase 2 EU emission allowances. We model returns and volatility dynamics, and we demonstrate that a standard ARMAX-GARCH framework is inadequate for this modeling and that the gaussianity assumption is rejected due to a number of outliers. To improve the...
Persistent link: https://www.econbiz.de/10011158461
We construct daily house price indices for ten major U.S. metropolitan areas. Our calculations are based on a comprehensive database of several million residential property transactions and a standard repeat-sales method that closely mimics the methodology of the popular monthly Case-Shiller...
Persistent link: https://www.econbiz.de/10011118617
EuroMInd-D is a density estimate of monthly gross domestic product (GDP) constructed according to a bottom–up approach, pooling the density estimates of eleven GDP components, by output and expenditure type. The components density estimates are obtained from a medium-size dynamic factor model...
Persistent link: https://www.econbiz.de/10011186679
This survey focuses on two families of nonlinear vector time series models, the family of Vector Threshold Regression models and that of Vector Smooth Transition Regression models. These two model classes contain incomplete models in the sense that strongly exogeneous variables are allowed in...
Persistent link: https://www.econbiz.de/10010886057