Similar Search Results

Model-Based Measurement of Latent Risk in Time Series with Applications

Bijleveld, Frits - 2006

we introduce a general multivariate framework for the time series analysis of risk that is modeled as a latent process … present a general model for the analysis of risk and discuss its statistical treatment based on linear state space methods … the general methodology can be effectively used in the assessment of risk …

Persistent link: https://www.econbiz.de/10012734846

A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk

Koopman, Siem Jan - 2005

decomposed into a systematic and firm-specific risk component, where the systematic component reflects the general economic …

Persistent link: https://www.econbiz.de/10012736328

The Time-Series Properties on Housing Prices : A Case Study of the Southern California Market

Gupta, Rangan - 2015

We examine the time-series relationship between housing prices in eight Southern California metropolitan statistical areas (MSAs). First, we perform cointegration tests of the housing price indexes for the MSAs, finding seven cointegrating vectors. Thus, the evidence suggests that one common...

Persistent link: https://www.econbiz.de/10012707336

Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices

Kilian, Lutz - 2014

Models that treat innovations to the price of energy as predetermined with respect to U.S. macroeconomic aggregates are widely used in the literature. For example, it is common to order energy prices first in recursively identified VAR models of the transmission of energy price shocks. Since...

Persistent link: https://www.econbiz.de/10012708607

'Ripple Effects' and Forecasting Home Prices in Los Angeles, Las Vegas, and Phoenix

Gupta, Rangan - 2015

We examine the time-series relationship between house prices in Los Angeles, Las Vegas, and Phoenix. First, temporal Granger causality tests reveal that Los Angeles house prices cause house prices in Las Vegas (directly) and Phoenix (indirectly). In addition, Las Vegas house prices cause house...

Persistent link: https://www.econbiz.de/10012749911

Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson-Siegel Model with Time-Varying Parameters

Koopman, Siem Jan - 2011

In this paper we introduce time-varying parameters in the dynamic Nelson-Siegel yield curve model for the simultaneous analysis and forecasting of interest rates of different maturities, known as the term structure. The Nelson-Siegel model has been recently reformulated as a dynamic factor model...

Persistent link: https://www.econbiz.de/10012714319