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Ölkə iqtisadiyyatı üzrə göstəricilərin modelləşdirilməsi və proqnozlaşdırılması: problemlər və praktiki çətinliklər

Mehdiyev, Mehdi; Ahmadov, Vugar; Huseynov, Salman; … - Volkswirtschaftliche Fakultät, … - 2015

In this paper, we study main problems and practical issues of modeling and forecasting of macroeconomic variables in the national economy. For that, we employ astructural VAR models and estimate interdependencies among different economic variables. Initial data analysis of macroeconomic...

Persistent link: https://www.econbiz.de/10011271682

Beating a Random Walk: “Hard Times” for Forecasting Inflation in Post-Oil Boom Years?

Huseynov, Salman; Ahmadov, Vugar; Adigozalov, Shaig - Volkswirtschaftliche Fakultät, … - 2014

In this study, we investigate forecasting performance of various univariate and multivariate models in predicting inflation for different horizons. We design our forecast experiment for the post-oil boom years of 2010-2014 and compare forecasting ability of the different models with that of...

Persistent link: https://www.econbiz.de/10011251893

A P* Model of Inflation in Puerto Rico

Rodríguez, Carlos A. - Volkswirtschaftliche Fakultät, … - 2004

One can analyze and forecast the inflationary potential in the Puerto Rican economy using the “P* model.” Given the nature of the monetary sector in Puerto Rico (PR), the model is put into the context of variables from the mainland United States (US). The results indicate a long-run...

Persistent link: https://www.econbiz.de/10011259136

The Elasticities Approach to Egypt’s Balance of Payments and Equilibrium Exchange Rate

Lord, Montague J. - Volkswirtschaftliche Fakultät, … - 1999

The study aims to calculate Egypt’s real effective exchange rate at both the bilateral and multilateral levels, estimates the effect of real cross-rate movements on trade in goods and services and on foreign direct investment, and determines the fundamental equilibrium exchange rate for...

Persistent link: https://www.econbiz.de/10011259979

Modelos de Estimación de la Brecha de Producto: Aplicación al PIB de la República Dominicana.

Francisco, Ramirez - Volkswirtschaftliche Fakultät, … - 2011

This document compares the proprieties of different empirical methodologies to estimate the output gap and the potential output (non-observable variables of interest to the design of monetary policy and macroeconomic analysis) using Dominican Republic as a case of study. The output gap and...

Persistent link: https://www.econbiz.de/10011260201

Improving Bayesian VAR density forecasts through autoregressive Wishart Stochastic Volatility

Karapanagiotidis, Paul - Volkswirtschaftliche Fakultät, … - 2012

Dramatic changes in macroeconomic time series volatility pose a challenge to contemporary vector autoregressive (VAR …) forecasting models. Traditionally, the conditional volatility of such models had been assumed constant over time or allowed for … breaks across long time periods. More recent work, however, has improved forecasts by allowing the conditional volatility to …

Persistent link: https://www.econbiz.de/10011260282

On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratan...

Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013

strategies and review the appropriate hedge fund’s risk assessment models for investing in the global capital markets in time of …

Persistent link: https://www.econbiz.de/10011260821

Joint Modeling of Call and Put Implied Volatility

Ahoniemi, Katja; Lanne, Markku - Volkswirtschaftliche Fakultät, … - 2007

volatile days. Forecast evaluation indicates that in addition to jointly modeling the time series of call and put IV, cross …

Persistent link: https://www.econbiz.de/10005260039

Fear Trading

Ardia, David - Volkswirtschaftliche Fakultät, … - 2003

Our trading strategy is inspired from the paper "implied volatility indices as leading indicators of stock index returns?", Giot (2002,[3]). It uses stylized facts observed in stock markets: the so called "leverage effect", the clustering and the mean-reverting behaviour of the implied...

Persistent link: https://www.econbiz.de/10005260285

How Important are Oil and Money Shocks in Explaining Housing Market Fluctuations in an Oil-exporting Country?: Evidence from Iran

Khiabani, Nasser - Volkswirtschaftliche Fakultät, … - 2010

This paper analyzes the effects of oil price and monetary shocks on the Iranian housing market in a Bayesian SVAR framework. The prior information for the contemporaneous identification of the SVAR model is derived from standard economic theory. To deal with uncertainty in the identification...

Persistent link: https://www.econbiz.de/10009322897

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