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The inflation-output nexus : empirical evidence from India, South Africa, and Brazil

Narayan, Seema; Narayan, Paresh Kumar - In: Research in international business and finance 28 (2013), pp. 19-34

Persistent link: https://www.econbiz.de/10009725167

Has the correlation of inflation and stock prices changed in the United States over the last two centuries?

Antonakakis, Nikolaos; Gupta, Rangan; Tiwari, Aviral Kumar - In: Research in international business and finance 42 (2017), pp. 1-8

Persistent link: https://www.econbiz.de/10011747216

Nominal uncertainty, real uncertainty and macroeconomic performance in a time-varying asymmetric framework : implications for monetary policy

Shah, Said Zamin; Baharumshah, Ahmad Zubaidi; Hook, Law … - In: Research in international business and finance 42 (2017), pp. 75-93

Persistent link: https://www.econbiz.de/10011750188

The power of weather : some empirical evidence on predicting day-ahead power prices through weather forecasts

Huurman, Christian; Ravazzolo, Francesco; Zhou, Chen - 2007

Persistent link: https://www.econbiz.de/10003482711

An alternative Bayesian approach to structural breaks in time series models

Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick van - 2011

Persistent link: https://www.econbiz.de/10008857052

Nonlinear forecasting with many predictors using kernel ridge regression

Exterkate, Peter; Groenen, Patrick J. F.; Heij, Christiaan - 2011

Persistent link: https://www.econbiz.de/10008809883

Stock index returns' density prediction using GARCH models : frequentist or Bayesian estimation?

Hoogerheide, Lennart F.; Ardia, David; Corré, Nienke - 2011

Persistent link: https://www.econbiz.de/10008824705

Choosing expected shortfall over VaR in Basel III using stochastic dominance

Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015

Bank risk managers follow the Basel Committee on Banking Supervision (BCBS) recommendations that recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The Basel Committee on Banking Supervision (2013, p. 3) noted that: "a number of...

Persistent link: https://www.econbiz.de/10011431395

The power of weather : some empirical evidence on predicting day-ahead power prices through day-ahead weather forecasts

Huurman, Christian; Ravazzolo, Francesco; Chen Zhou - 2007

In the literature the effects of weather on electricity sales are well-documented. However, studies that have investigated the impact of weather on electricity prices are still scarce (e.g. Knittel and Roberts, 2005), partly because the wholesale power markets have only recently been...

Persistent link: https://www.econbiz.de/10011372511

Likelihood-based analysis for dynamic factor models

Jungbacker, Borus; Koopman, Siem Jan - 2008

We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually...

Persistent link: https://www.econbiz.de/10011373811