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Estimating stochastic volatility diffusion using conditional moments of integrated volatility

Bollerslev, Tim; Zhou, Hao - Federal Reserve Board (Board of Governors of the … - 2001

We exploit the distributional information contained in high-frequency intraday data in constructing a simple conditional moment estimator for stochastic volatility diffusions. The estimator is based on the analytical solutions of the first two conditional moments for the latent integrated...

Persistent link: https://www.econbiz.de/10005394096

Inferring policy objectives from economic outcomes

Dennis, Richard - Federal Reserve Bank of San Francisco - 2003

This paper stresses that estimated policy rules are reduced form equations that are silent on many important policy questions. To obtain a structural understanding of monetary policy it is necessary to estimate the policymaker's objective function, rather than its policy reaction function. With...

Persistent link: https://www.econbiz.de/10005401613

A munkaerő-piaci előrejelzések nemzetközi gyakorlata -áttekintés a kvantitatív módszerekről és felhasználásukról

Gács, János; Bíró, Anikó - 2012

forecasts and foreseeing structural changes". It presents a comprehensive overview of labour market forecasting activities … is to provide ideas, lessons and benchmarks for similar forecasting exercises in Hungary. After outlining the basic model … of quantitative labour market forecasting the paper identifies the technical conditions of model building and model …

Persistent link: https://www.econbiz.de/10010494517

A munkakereslet nemzetközi tendenciái

Horn, Dániel - 2011

. We take their model and compare it with several other specifications to test forecasting fit. The main conclusions of … of this latter are easier to interpret. Quasi-autoregressive models do not improve forecasting fit as much as expected. …

Persistent link: https://www.econbiz.de/10010494708

A munkaerő-piaci előrejelzések nemzetközi gyakorlata: Áttekintés a kvantitatív módszerekről és felhasználásukról 12 ország és az Európai Unió előrejelzési tapasztalatai alapján...

Gács, János; Bíró, Anikó - 2013

The study presents a comprehensive overview of labour market forecasting activities, mostly quantitative, based on … and benchmarks for similar forecasting exercises in Hungary. After outlining the basic model of quantitative labour market … forecasting the paper identifies the technical conditions of model building and model quantification, as well as the …

Persistent link: https://www.econbiz.de/10010494734