Similar Search Results

Simulation-based valuation of project finance: does model complexity really matter?

Weber, Florian; Schmid, Thomas; Pietz, Matthäus; … - 2010

forecasting techniques, e.g. correlation forecasts based on historical values and on a dynamic conditional correlation (DCC) model … varied. We find that the applied volatility forecasting models have a strong influence on the expected net present value … distribution and on the probability of default. In contrast, correlation forecasting models play a minor role. Time resolution and …

Persistent link: https://www.econbiz.de/10010305715

Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives

Corradi, Valentina; Swanson, Norman R. - 2003

forecasting model for another variable, and hence our use of terminology such as ?out-of-sample Granger causality? (see e …

Persistent link: https://www.econbiz.de/10010263216

Assessing simple policy rules: a view from a complete macro model

Leeper, Eric M.; Zha, Tao - 2000

We explore two popular approaches to empirical analysis of monetary policy: the New Keynesian and the identified vector autoregression approaches. Stylized models of private behavior coupled with simple rules describing policy behavior characterize New Keynesian work. Vector autoregressions...

Persistent link: https://www.econbiz.de/10010397386

Improving forecasts of the federal funds rate in a policy model

Robertson, John C.; Tallman, Ellis W. - 1999

Vector autoregression (VAR) models are widely used for policy analysis. Some authors caution, however, that the forecast errors of the federal funds rate from such a VAR are large compared to those from the federal funds futures market. From these findings, it is argued that the inaccurate...

Persistent link: https://www.econbiz.de/10010397474

Priors from general equilibrium models for VARs

Del Negro, Marco; Schorfheide, Frank - 2002

resulting model is competitive with standard benchmarks in terms of forecasting and can be used for policy analysis. …

Persistent link: https://www.econbiz.de/10010397509

Modest policy interventions

Leeper, Eric M.; Zha, Tao - 1999

This paper brings together identification and forecasting in a positive econometric analysis of policy. We contend that …

Persistent link: https://www.econbiz.de/10010397515

Modest policy interventions

Leeper, Eric M.; Zha, Tao - 2002

The authors present a framework for computing and evaluating linear projections of macro variables conditional on hypothetical paths of monetary policy. A modest policy intervention is a change in policy that does not significantly shift agents' beliefs about policy regime and does not generate...

Persistent link: https://www.econbiz.de/10010397519

Prior parameter uncertainty: Some implications for forecasting and policy analysis with VAR models

Robertson, John C.; Tallman, Ellis W. - 1999

. In this paper, we examine how the treatment of prior uncertainty about parameter values can affect forecasting accuracy …

Persistent link: https://www.econbiz.de/10010397583

Cointegrated VARMA models and forecasting US interest rates

Kascha, Christian; Trenkler, Carsten - 2011

We bring together some recent advances in the literature on vector autoregressive moving-average models creating a relatively simple specification and estimation strategy for the cointegrated case. We show that in the cointegrated case with fixed initial values there exists a so-called final...

Persistent link: https://www.econbiz.de/10010316827

Econometric studies of business cycles in the history of econometrics

Qin, Duo - 2010

This study examines the evolution of econometric research in business cycle analysis during the 1960-90 period. It shows how the research was dominated by an assimilation of the tradition of NBER business cycle analysis by the Haavelmo-Cowles Commission approach, catalysed by time-series...

Persistent link: https://www.econbiz.de/10010280775