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Forecasting volatility in European stock markets with non-linear GARCH models
Forte, Gianfranco; Manera, Matteo - 2002
This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock price indexes. Forecasts produced by each...
Persistent link: https://www.econbiz.de/10011598042
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Financial conditions indicator for Brazil
Gaglianone, Wagner Piazza; Areosa, Waldyr Dutra - 2017
This paper proposes a methodology for constructing a Financial Conditions Indicator (FCI) based on factor analysis and the approaches of Brave and Butters (2011) and Aramonte et al. (2013). A selected set of variables is used and their information content aggregated into a single index that...
Persistent link: https://www.econbiz.de/10011715419
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Understanding financial fluctuations and their relation to macroeconomic stability
Guarata, Nora; Pagliacci, Carolina - 2017
This paper examines how financial fluctuations and macroeconomic stability interact in the case of Venezuela, acknowledging that financial conditions deteriorating the macroeconomic environment can arise with both good and bad macroeconomic performance. An empirical methodology is provided that...
Persistent link: https://www.econbiz.de/10011673263
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Non-Linear Mixed Logit and the Characterization of Individual Heterogeneity
Andersen, Steffen; Harrison, Glenn W.; Hole, Arne Risa; … - 2009
Experimental data exhibit considerable individual heterogeneity. We review the econometric methods employed to characterize that heterogeneity. We pay particular attention to the trade-off between collecting and allowing for observable characteristics, such as the familiar demographics, and the...
Persistent link: https://www.econbiz.de/10012142360
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Estimating Aversion to Uncertainty
Andersen, Steffen; Fountain, John; Harrison, Glenn W.; … - 2009
It is intuitive that decision-makers might have attitudes towards uncertainty just as they might have attitudes towards risk. However, it is only recently that this intuitive notion has been formalized and axiomatically characterized. We estimate the extent of uncertainty aversion in a manner...
Persistent link: https://www.econbiz.de/10012142361
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Spatial dependence in models of state fiscal policy convergence
Coughlin, Cletus Charles (contributor);  … - 2006 - Rev.
Persistent link: https://www.econbiz.de/10003739563
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Spatial hedonic models of airport noise, proximity, and housing prices
Cohen, Jeffrey P. (contributor);  … - 2007 - Rev.
Persistent link: https://www.econbiz.de/10003739746
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The stability of macroeconomic systems with Bayesian learners
Bullard, James Brian (contributor); Suda, Jacek (contributor) - 2008
Persistent link: https://www.econbiz.de/10003783616
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Representation in econometrics : a historical perspective
Gilbert, Christopher L. (contributor); Qin, Duo (contributor) - 2007
Measurement forms the substance of econometrics. This chapter outlines the history of econometrics from a measurement … perspective - how have measurement errors been dealt with and how, from a methodological standpoint, did econometrics evolve so as …
Persistent link: https://www.econbiz.de/10003407670
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Modelling of the inflation-unemployment tradeoff from the perspective of the history of econometrics
Qin, Duo - 2010
This paper examines the history of econometrics through a particular case study - modelling the tradeoff between … different concerns and the different problems that they encountered has fed back into the development of econometrics. The study … reveals that much of the interaction between econometrics and economics involved modellers taking certain tradeoffs between …
Persistent link: https://www.econbiz.de/10003933933