Similar Search Results

Gambling for dollars: Strategic hedge fund manager investment

Bernhardt, Dan; Nosal, Ed - 2013

Hedge fund managers differ in ability and investors want to distinguish good ones from bad. Via the design of their investment strategies, better fund managers want to ease this inference problem while worse fund managers want to complicate it. We impose only the minimal restrictions on the...

Persistent link: https://www.econbiz.de/10010352178

A simultaneous equations analysis of analysts’ forecast bias and institutional ownership

Ackert, Lucy F.; Athanassakos, George - 2000

In this paper we use a simultaneous equations model to examine the relationship between analysts' forecasting decisions and institutions' investment decisions. Neglecting their interaction results in model misspecification. We find that analysts' optimism concerning a firm's earnings responds...

Persistent link: https://www.econbiz.de/10010397439

Covid-19 e didattica a distanza.Il caso Basilicata, una regione a rischio digital divide

De Filippo, Marcella; Percoco, Annalisa; Voce, Angela - 2020

digitalization but has also shown the internal weaknesses and fragilities of states. Distance learning (DAD) has been the response of … schools to the suspension of lessons in order to guarantee students' right to education. The working paper explains what DAD … digitization of the Italian school; it then explores digital education in Lucanian schools through the analysis of statistical …

Persistent link: https://www.econbiz.de/10012419711

Fat-tails in VAR models

Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pinter, Gabor - 2014

We confirm that standard time-series models for US output growth, inflation, interest rates and stock market returns feature non-Gaussian error structure. We build a 4-variable VAR model where the orthogonolised shocks have a Student t-distribution with a time-varying variance. We find that in...

Persistent link: https://www.econbiz.de/10010368173

Streamlining time-varying VAR with a factor structure in the parameters

Beyeler, Simon - 2019

I introduce a factor structure on the parameters of a Bayesian TVP-VAR to reduce the dimension of the model's state space. To further limit the scope of over-fitting the estimation of the factor loadings uses a new generation of shrinkage priors. A Monte Carlo study illustrates the ability of...

Persistent link: https://www.econbiz.de/10012271928

Modelling Okun's law - does non-Gaussianity matter?

Kiss, Tamás; Nguyen, Hoang; Österholm, Pär - 2022

In this paper, we analyse Okun's law - a relation between the change in the unemployment rate and GDP growth - using data from Australia, the euro area, the United Kingdom and the United States. More specifically, we assess the relevance of non-Gaussianity when modelling the relation. This is...

Persistent link: https://www.econbiz.de/10013331912

A weekly structural VAR model of the US crude oil market

Valenti, Daniele; Bastianin, Andrea; Manera, Matteo - 2022

We present a weekly structural Vector Autoregressive (VAR) model of the US crude oil market. Exploiting weekly data we can explain short-run crude oil price dynamics, including those related with the COVID-19 pandemic and with the Russia’s invasion of Ukraine. The model is set identified with...

Persistent link: https://www.econbiz.de/10013353581

Do Inflation Expectations Granger Cause Inflation?

Stockhammar, Pär; Österholm, Pär - 2016

In this paper, we investigate whether survey measures of inflation expec-tations in Sweden Granger cause Swedish CPI-inflation. This is done by studying the precision of out-of-sample forecasts from Bayesian VAR models using a sample of quarterly data from 1996 to 2016. It is found that the...

Persistent link: https://www.econbiz.de/10012654415

The Impact of US Uncertainty Shocks on Small Open Economies

Stockhammar, Pär; Österholm, Pär - 2016

In this paper, we investigate the impact of US uncertainty shocks on GDP growth in nine small open economies: Australia, Canada, Denmark, Finland, Iceland, New Zealand, Norway, Sweden and the United Kingdom. We compare the impact of two types of shocks: i) stock market volatility shocks and ii)...

Persistent link: https://www.econbiz.de/10012654416

The Relation between the Corporate Bond-Yield Spread and the Real Economy: Stable or TimeVarying?

Karlsson, Sune; Österholm, Pär - 2019

In this paper we assess whether the relation between the corporate bond-yield spread and the real economy has been stable over time. Using quarterly US data from 1953Q1 to 2018Q2, we estimate Bayesian VAR models which allow for drifting parameters and/or stochastic volatility and conduct formal...

Persistent link: https://www.econbiz.de/10012654449

1
2
3
4
5
6
7
8
9
10
Next
Last