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The international transmission of volatility shocks: an empirical analysis
Mumtaz, Haroon; Theodoridis, Konstantinos - Bank of England - 2012
This paper proposes an empirical model which can be used to estimate the impact of changes in the volatility of shocks to US real activity on the UK economy. The proposed empirical model is a structural VAR where the volatility of structural shocks is time varying and is allowed to affect the...
Persistent link: https://www.econbiz.de/10008503136
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Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis
Hayes, Dermot; Du, Xiaodong; Yu, Cindy L. - Center for Agricultural and Rural Development (CARD), … - 2009
This paper assesses the roles of various factors influencing the volatility of crude oil prices and the possible linkage between this volatility and agricultural commodity markets. Stochastic volatility models are applied to weekly crude oil, corn, and wheat futures prices from November 1998 to...
Persistent link: https://www.econbiz.de/10004999996
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Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis
Du, Xiaodong; Yu, Cindy L.; Hayes, Dermot J. - Agricultural and Applied Economics Association - AAEA - 2009
This paper assesses the roles of various factors influencing the volatility of crude oil prices and the possible linkage between this volatility and agricultural commodity markets. Stochastic volatility models are applied to weekly crude oil, corn and wheat futures prices from November 1998 to...
Persistent link: https://www.econbiz.de/10005000488
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Influence of different land-surface processes on Indian summer monsoon circulation
Singh, A.; Mohanty, U.; Sinha, P.; Mandal, M. - In: Natural Hazards 42 (2007) 2, pp. 423-438
The impact of different land-surface parameterisation schemes for the simulation of monsoon circulation during a normal … monsoon year over India has been analysed. For this purpose, three land-surface parameterisation schemes, the NoaH, the Multi … land-surface parameterisation schemes, latent and sensible heat fluxes and rainfall were estimated over the Indian region …
Persistent link: https://www.econbiz.de/10010846915
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Methodology to assess the hydrological impact of weed control practices with a view to management of Mediterranean winegrowing catchments
Biarnes, Anne; Colin, Francois - In: International Journal of Sustainable Development 9 (2006) 2, pp. 161-179
This paper proposes a methodology to assist water resources managers in assessing the hydrological impact of weed control practices in Mediterranean winegrowing catchments. The methodology is based on a spatial representation of practices and its integration in a distributed hydrologic model....
Persistent link: https://www.econbiz.de/10008563852
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Methodology to assess the hydrological impact of weed control practices with a view to management of Mediterranean winegrowing catchments
Biarnes, Anne; Colin, Francois - In: International Journal of Sustainable Development 9 (2006) 2, pp. 161-179
This paper proposes a methodology to assist water resources managers in assessing the hydrological impact of weed control practices in Mediterranean winegrowing catchments. The methodology is based on a spatial representation of practices and its integration in a distributed hydrologic model....
Persistent link: https://www.econbiz.de/10005754401
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The Life-Cycle Income Analysis Model (LIAM): a study of a flexible dynamic microsimulation modelling computing framework
O'Donoghue, Cathal; Lennon, John; Hynes, Stephen - In: International Journal of Microsimulation 2 (2009) 1, pp. 16-31
-cycle Income Analysis Model (LIAM). The principle computing characteristics include the degree of modularisation, parameterisation … parameterisation, alignment and computational efficiency. …
Persistent link: https://www.econbiz.de/10009371310
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Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
Liesenfeld, Roman; Richard, Jean-Francois - In: Econometric Reviews 25 (2006) 2-3, pp. 335-360
In this paper, efficient importance sampling (EIS) is used to perform a classical and Bayesian analysis of univariate and multivariate stochastic volatility (SV) models for financial return series. EIS provides a highly generic and very accurate procedure for the Monte Carlo (MC) evaluation of...
Persistent link: https://www.econbiz.de/10009228527
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Statistical algorithms for models in state space using SsfPack 2.2
Shephard, Neil; Doornik, Jurgen; Koopman, Siem Jan - Department of Economics, Oxford University - 1998
This paper discusses and documents the algorithms of SsfPack 2.2. SsfPack is a suite of C routines for carrying out computations involving the statistical analysis of univariate and multivariate models in state space form. The emphasis is on documenting the link we have made to the Ox computing...
Persistent link: https://www.econbiz.de/10010605168
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Seasonality and Markov switching in an unobserved component time series model
Luginbuhl, Rob; Vos, Aart de - In: Empirical Economics 28 (2003) 2, pp. 365-386
It is generally acknowledged that the growth rate of output, the seasonal pattern, and the business cycle are best estimated simultaneously. To achieve this, we develop an unobserved component time series model for seasonally unadjusted US GDP. Our model incorporates a Markov switching regime to...
Persistent link: https://www.econbiz.de/10005184253