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Frontiers in Time Series and Financial Econometrics: An Overview

Ling, Shiqing; McAleer, Michael; Tong, Howell - Tinbergen Instituut - 2015

to time series and financial econometrics, including forecasting co-volatilities via factor models with asymmetry and … factors, endogeneity and nonlinearity, sign-based portmanteau test for ARCH-type models with heavy-tailed innovations, toward …

Persistent link: https://www.econbiz.de/10011257486

Diagnostic Tools for Nonlinearity in Spatial Models

Graaff, Thomas de; Florax, Raymond J.G.M.; Nijkamp, Peter; … - Tinbergen Instituut - 1998

econometrics to nonlinearity tests for empirical data series, in particular the so-called BDS (Brock, Dechert, Scheinkman) test. A …

Persistent link: https://www.econbiz.de/10011257476

Diagnostic Tools for Nonlinearity in Spatial Models

Graaff, Thomas de; Florax, Raymond J.G.M.; Nijkamp, Peter; … - Tinbergen Institute - 1998

econometrics to nonlinearity tests for empirical data series, in particular the so-called <I>BDS</I> (Brock, Dechert, Scheinkman …

Persistent link: https://www.econbiz.de/10005137268

Testing for Nonlinear Structure and Chaos in Economic Time. A Comment.

Hommes, Cars; Manzan, Sebastiano - Tinbergen Institute - 2006

This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine Kyrtsou and Apostolos Serletis. We summarize their main results and discuss some of their conclusions concerning the role of outliers and noisy chaos. In particular, we include...

Persistent link: https://www.econbiz.de/10005144529

Testing for Nonlinear Structure and Chaos in Economic Time. A Comment.

Hommes, Cars; Manzan, Sebastiano - Tinbergen Instituut - 2006

Persistent link: https://www.econbiz.de/10011255740

The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts

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

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

Risk Modelling and Management: An Overview

Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - Tinbergen Instituut - 2013

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

Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models

Blasques, Francisco; Koopman, Siem Jan; Mallee, Max - Tinbergen Instituut - 2014

The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...

Persistent link: https://www.econbiz.de/10011256800

Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment

Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - Tinbergen Instituut - 2006

, 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

Modelling and Simulation: An Overview

McAleer, Michael; Chan, Felix; Oxley, Les - Tinbergen Instituut - 2013

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