Showing 1 - 10 of 798
We fit the normal inverse Gaussian(NIG) distribution to foreign exchange closing prices using the open software package R and select best models by Kaarik and Umbleja (2011) proposed strategy. We observe that daily closing prices(12/04/2008 - 07/08/2012) of CHF/JPY, AUD/JPY, GBP/JPY, NZD/USD,...
Persistent link: https://www.econbiz.de/10011108989
We use factor augmented vector autoregressive models with time-varying coefficients to construct a financial conditions index. The time-variation in the parameters allows for the weights attached to each financial variable in the index to evolve over time. Furthermore, we develop methods for...
Persistent link: https://www.econbiz.de/10011108998
, thus, making them appropriate for models of large dimensions. A comprehensive forecasting exercise involving TVP-VARs of …
Persistent link: https://www.econbiz.de/10011109841
This paper provides an answer to the question of whether Europe will be able to reach its tertiary education target by 2020. Insights into the dynamics of future education attainment and areas for effective policy interventions in the long-run are highlighted. We model the dynamics behind...
Persistent link: https://www.econbiz.de/10011110221
This work demonstrates that forecast of foreign exchange (FX) daily closing prices using the normal inverse Gaussian (NIG) and Variance Gamma (VG) Levy processes outperform the naïve Random Walk model. We use the open software R to estimate NIG and VG distribution parameters and perform several...
Persistent link: https://www.econbiz.de/10011110600
terms of the forecasting performance of the FCI. Additionally, Bayesian model averaging can improve in specific cases the …
Persistent link: https://www.econbiz.de/10011111484
finance; for such tasks as pattern reorganization, and time series forecasting, have dramatically increased. Many central … banks use forecasting models based on ANN methodology for predicting various macroeconomic indicators, like inflation, GDP … ANN model with conventional univariate time series forecasting models such as AR(1) and ARIMA based models and observed …
Persistent link: https://www.econbiz.de/10011112612
explosion of stochastic mortality models forecasting trends in mortality data in order to anticipate future life expectancy and …
Persistent link: https://www.econbiz.de/10011206890
We analyse the multihorizon forecasting performance of several strategies to estimate the stationary AR(1) model in a … driftless random walk (RW). In addition, we explore the forecasting performance of pairwise combinations between these …
Persistent link: https://www.econbiz.de/10011195671
paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed …
Persistent link: https://www.econbiz.de/10005103392