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Detrending, Stylized Facts and The Business Cycle (Now published in Journal of Applied Econometrics, vol.8 (1993), pp.231-247.)
Harvey, Andrew C; Jaeger, Albert - Suntory and Toyota International Centres for Economics … - 1991
framework, we analyze the consequences of the widely used detrending technique popularized by Hodrick and Prescott (1980). It is … shown that mechanical detrending based on the Hodrick-Prescott fitter can lead investigators to report spurious cyclical …
Persistent link: https://www.econbiz.de/10010720247
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Conditional means of time series processes and time series processes for conditional means
Fiorentini, Gabriele; Iváñez, Enrique Sentana - Instituto Valenciano de Investigaciones Económicas (IVIE) - 1997
coefficient. We also compare the persistence of shocks to the conditional mean relative to the observed variable using mea sures … of total and iterim persistence of shocks for stationary processes based on the impulse response function. We apply our …
Persistent link: https://www.econbiz.de/10008542870
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“Effects of removing the trend and the seasonal component on the forecasting performance of artificial neural network techniques”
Claveria, Oscar; Monte, Enric; Torra, Salvador - Institut de Recerca en Economia Aplicada (IREA), … - 2015
This study aims to analyze the effects of data pre-processing on the performance of forecasting based on neural network … demand to Catalonia (Spain) and compare the forecasting accuracy of four processing methods for the input vector of the … networks: levels, growth rates, seasonally adjusted levels and seasonally adjusted growth rates. When comparing the forecasting …
Persistent link: https://www.econbiz.de/10011124425
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“Effects of removing the trend and the seasonal component on the forecasting performance of artificial neural network techniques”
Claveria, Oscar; Monte, Enric; Torra, Salvador - Facultat d'Economia i Empresa, Universitat de Barcelona - 2015
This study aims to analyze the effects of data pre-processing on the performance of forecasting based on neural network … demand to Catalonia (Spain) and compare the forecasting accuracy of four processing methods for the input vector of the … networks: levels, growth rates, seasonally adjusted levels and seasonally adjusted growth rates. When comparing the forecasting …
Persistent link: https://www.econbiz.de/10011194344
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Economic valuation of liquidity timing
Karstanje, Dennis; Sojli, Elvira; Tham, Wing Wah; van … - In: Journal of Banking & Finance 37 (2013) 12, pp. 5073-5087
This paper conducts a horse-race of different liquidity proxies using dynamic asset allocation strategies to evaluate the short-horizon predictive ability of liquidity on monthly stock returns. We assess the economic value of the out-of-sample power of empirical models based on different...
Persistent link: https://www.econbiz.de/10010709509
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A forecast evaluation of expected equity return measures
Chin, Michael; Polk, Christopher - Bank of England - 2015
their ability to capture expected returns. We assess the forecasting performance of two popular approaches to estimating …
Persistent link: https://www.econbiz.de/10011122772
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Economic Valuation of Liquidity Timing
Karstanje, Dennis; Sojli, Elvira; Tham, Wing Wah; Wel, … - Tinbergen Instituut - 2013
This discussion paper resulted in a publication in the 'Journal of Banking and Finance' (2013). Vol. 37, issue 12, pages 5073-5087.<P> This paper conducts a horse-race of different liquidity proxies using dynamic asset allocation strategies to evaluate the short-horizon predictive ability of...</p>
Persistent link: https://www.econbiz.de/10011257598
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Early News is Good News: The Effects of Market Opening on Market Volatility
Gallo, Giampiero; Pacini, Barbara - In: Studies in Nonlinear Dynamics & Econometrics 2 (1998) 4, pp. 1034-1034
effects of modifying the direct impact of daily innovations on volatility and reducing the estimated overall persistence of … such innovations. The overall contribution of the variable is evaluated in an out-of-sample forecasting exercise, where we …
Persistent link: https://www.econbiz.de/10005046489
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Early News is Good News: The Effects of Market Opening on Market Volatility
Gallo, Giampiero; Pacini, Barbara - In: Studies in Nonlinear Dynamics & Econometrics 2 (2007) 4, pp. 1034-1034
effects of modifying the direct impact of daily innovations on volatility and reducing the estimated overall persistence of … such innovations. The overall contribution of the variable is evaluated in an out-of-sample forecasting exercise, where we …
Persistent link: https://www.econbiz.de/10004966158
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Modeling Farm-Retail Price Spread in the U.S. Pork Industry
Shen, Zhangxin - 2010
The farm-retail price spread is the difference between the retail price of a product and its farm value. It changes with changes in factor prices, the efficiency of providing services, and the quantity and quality of services embodied in the final product. A model was derived by Box-Cox...
Persistent link: https://www.econbiz.de/10009431316