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This paper proposes an indirect inference (Gourieroux, Monfort and Renault, 1993; Smith, 1993) estimation method for a large class of dynamic equilibrium models. Our approach is based on the observation that the econometric structure of these systems naturally generates auxiliary equilibria that can...
Persistent link: https://www.econbiz.de/10010499879
La littérature sur l'instabilité macroéconomique couvre un champ extrêmement vaste qui se révèle par le spectre très … généralement peu discuté sous le prétexte que les différentes méthodes, basées sur la stationnarisation des séries, résultent en … littérature sur le sujet et présentons les principales méthodes de calcul de l'instabilité. A partir de données sur les recettes d …
Persistent link: https://www.econbiz.de/10014000796
In a Constant Proportion Portfolio Insurance (CPPI) framework, a constant risk exposure is defined by the multiple of the strategy. This article proposes an alternative conditional multiple estimation model, which is based on an autoregressive quantile regression dynamic approach. We estimate...
Persistent link: https://www.econbiz.de/10004991605
In this paper, we study the asymptotic distribution of a simple two-stage (Hannan-Rissanen-type) linear estimator for stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. General conditions for consistency and asymptotic normality are...
Persistent link: https://www.econbiz.de/10005100706
et nous proposons des méthodes linéaires basées sur l'estimation d'autorégressions vectorielles à différents horizons …
Persistent link: https://www.econbiz.de/10005100843
Using methods from machine learning we show that fundamentals from simple exchange rate models (PPP or UIRP) or Taylor-rule based models lead to improved exchange rate forecasts for major currencies over the floating period era 1973--2014 at a 1-month forecast horizon which beat the no-change...
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