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Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies
Hammoudeh, Shawkat; McAleer, Michael; Yuan, Yuan, Y.; … - Faculteit der Economische Wetenschappen, Erasmus … - 2009
precious metals (that is, gold, silver, platinum and palladium), while accounting for geopolitics within a multivariate system …
Persistent link: https://www.econbiz.de/10010732605
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The Vector Floor and Ceiling Model
Koop, Gary; Potter, Simon - Department of Economics, Leicester University - 2000
Floor and Ceiling model. Bayesian and classical methods for estimation and testing are developed and compared in the context … of an application involving U.S. macroeconomic data. In terms of statistical significance both classical and Bayesian …
Persistent link: https://www.econbiz.de/10005385072
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A new model of trend inflation
Chan, Joshua; Koop, Gary; Potter, Simon - Volkswirtschaftliche Fakultät, … - 2012
This paper introduces a new model of trend (or underlying) inflation. In contrast to many earlier approaches, which allow for trend inflation to evolve according to a random walk, ours is a bounded model which ensures that trend inflation is constrained to lie in an interval. The bounds of this...
Persistent link: https://www.econbiz.de/10011112353
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A flexible approach to parametric inference in nonlinear and time varying time series models
Koop, Gary; Potter, Simon - HAL - 2010
transition autoregressive models or time varying parameter models). Bayesian econometric methods for inference are developed for …
Persistent link: https://www.econbiz.de/10010821083
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Forecasting the Price of Gold Using Dynamic Model Averaging
Aye, Goodness; Gupta, Rangan; Hammoudeh, Shawkat; Kim, … - Institut de Préparation à l'Administration et à la … - 2014
linear model (such as random walk) but also the Bayesian model averaging (BMA) model for examining possible predictors of the …
Persistent link: https://www.econbiz.de/10010891025
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Forecasting the Price of Gold Using Dynamic Model Averaging
Aye, Goodness C.; Gupta, Rangan; Hammoudeh, Shawkat; … - Department of Economics, Faculty of Economic and … - 2014
linear model (such as random walk) but also the Bayesian model averaging (BMA) model for examining possible predictors of the …
Persistent link: https://www.econbiz.de/10010891726
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A New Model of Trend Inflation
Chan, Joshua; Koop, Gary; Potter, Simon - Economics Department, University of Strathclyde - 2012
This paper introduces a new model of trend (or underlying) inflation. In contrast to many earlier approaches, which allow for trend inflation to evolve according to a random walk, ours is a bounded model which ensures that trend inflation is constrained to lie in an interval. The bounds of this...
Persistent link: https://www.econbiz.de/10009653402
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A New Model Of Trend Inflation
Chan, Joshua; Koop, Gary; Potter, Simon - Scottish Institute for Research in Economics (SIRE) - 2012
This paper introduces a new model of trend (or underlying) inflation. In contrast to many earlier approaches, which allow for trend inflation to evolve according to a random walk, ours is a bounded model which ensures that trend inflation is constrained to lie in an interval. The bounds of this...
Persistent link: https://www.econbiz.de/10010552401
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A flexible approach to parametric inference in nonlinear and time varying time series models
Koop, Gary; Potter, Simon - HAL - 2010
transition autoregressive models or time varying parameter models). Bayesian econometric methods for inference are developed for …
Persistent link: https://www.econbiz.de/10010570531
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Understanding Liquidity and Credit Risks in the Financial Crisis*
Gefang, Deborah; Koop, Gary; Potter, Simon - Economics Department, University of Strathclyde - 2011
This paper develops a structured dynamic factor model for the spreads between London Interbank Offered Rate (LIBOR) and overnight index swap (OIS) rates for a panel of banks. Our model involves latent factors which relect liquidity and credit risk. Our empirical results show that surges in the...
Persistent link: https://www.econbiz.de/10009150786