Showing 1 - 10 of 64
wholesale power markets have only recently been deregulated. We introduce the weather factor into well-known forecasting models …
Persistent link: https://www.econbiz.de/10005504905
This paper implements recursive techniques to estimate the equilibrium level of M2 velocity and to forecast inflation using the P* model. The recursive estimates of equilibrium velocity are obtained by applying regression trees and least squares methods to a standard representation of M2 demand,...
Persistent link: https://www.econbiz.de/10005393915
This paper examines the effect of inflation on stock valuations and expected long-run returns. Ex ante estimates of expected long-run returns are constructed by incorporating analysts' earnings forecasts into a variant of the Campbell-Shiller dividend-price ratio model. The negative relation...
Persistent link: https://www.econbiz.de/10005393967
under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes … dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value …
Persistent link: https://www.econbiz.de/10011256696
, pages 683-713.<P> This paper discusses identification, specification, estimation and forecasting for a general class of … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …
Persistent link: https://www.econbiz.de/10011256849
underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan …
Persistent link: https://www.econbiz.de/10011256964
"><I>Journal of Applied Econometrics</I></A>, 2014, 29, pages 693-712.<P> Many economic studies on inflation forecasting have found … existing studies on interest rate forecasting either treat yields as being stationary, without any shifting endpoints, or treat … yields as a random walk process. In this study we consider the problem of forecasting the term structure of interest rates …
Persistent link: https://www.econbiz.de/10011257019
wholesale power markets have only recently been deregulated. We introduce the weather factor into well-known forecasting models …
Persistent link: https://www.econbiz.de/10011257096
construction methods, we find that this procedure leads to better interpretable factors and to a favorable forecasting performance …
Persistent link: https://www.econbiz.de/10011257444
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10011257521