Similar Search Results

Exchange Rate Puzzles: A Review of the Recent Theoretical and Empirical Developments

Mokoena, Thabo; Gupta, Rangan; Eyden, Renee van - Department of Economics, Faculty of Economic and … - 2008

This paper presents a comprehensive literature review of the theoretical and empirical developments that have taken place over the last two decades in an attempt to address the exchange rate puzzles. Specifically, we discuss non-linear and Bayesian econometric techniques, Dynamic General...

Persistent link: https://www.econbiz.de/10005076201

Volatility spillovers across global asset classes : evidence from time and frequency domains

Tiwari, Aviral Kumar; Cuñado Eizaguirre, Juncal; … - In: The quarterly review of economics and finance : journal … 70 (2018), pp. 194-202

Persistent link: https://www.econbiz.de/10012035042

Forecasting US Real House Price Returns over 1831-2013: Evidence from Copula Models

Majumdar, Anandamayee; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014

benchmarks (naive and autoregressive models) in forecasting real US house price over the annual out-of-sample period of 1859 …

Persistent link: https://www.econbiz.de/10011149761

Forecasting the US Real Private Residential Fixed Investment Using Large Number of Predictors

Aye, Goodness C.; Miller, Stephen M.; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2013

20 bivariate regression models, are used in order to capture the influence of fundamentals in forecasting residential …

Persistent link: https://www.econbiz.de/10011149763

Oil Price Forecastability and Economic Uncertainty

Bekiros, Stelios; Gupta, Rangan; Paccagnini, Alessia - Department of Economics, Faculty of Economic and … - 2015

Information on economic policy uncertainty (EPU) does matter in predicting oil returns especially when accounting for omitted nonlinearities in the relationship between these two variables via a time-varying coefficient approach. In this work, we compare the forecastability of standard, Bayesian...

Persistent link: https://www.econbiz.de/10011214021

Oil Price Forecastability and Economic Uncertainty

Bekiros, Stelios; Gupta, Rangan; Paccagnini, Alessia - Dipartimento di Economia, Metodi Quantitativi e … - 2015

Information on economic policy uncertainty (EPU) does matter in predicting oil returns especially when accounting for omitted nonlinearities in the relationship between these two variables via a time-varying coe¢ cient approach. In this work, we compare the forecastability of standard, Bayesian...

Persistent link: https://www.econbiz.de/10011234990

Forecasting the South African Inflation Rate: On Asymmetric Loss and Forecast Rationality

Pierdzioch, Christian; Reid, Monique B.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014

Using forecasts of the inflation rate in South Africa, we study the rationality of forecasts and the shape of forecasters’ loss function. When we study micro-level data of individual forecasts, we find mixed evidence of an asymmetric loss function, suggesting that inflation forecasters are...

Persistent link: https://www.econbiz.de/10011196001

Forecasting the US CPI: Does Nonlinearity Matter?

Álvarez-Díaz, Marcos; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015

forecasting gains are not significant relative to higher-order AR and nonlinear models, though simple benchmarks like the RW and … AR(1) models are statistically outperformed. Overall, we show that in terms of forecasting the US CPI, accounting for …

Persistent link: https://www.econbiz.de/10011196639

Was the Recent Downturn in US GDP Predictable?

Balcilar, Mehmet; Gupta, Rangan; Majumdar, Anandamayee; … - Department of Economics, Faculty of Economic and … - 2012

-stochastic-general-equilibrium models of the economy, may prove crucial in forecasting turning points. …

Persistent link: https://www.econbiz.de/10011201327

Forecasting Key Macroeconomic Variables of the South African Economy Using Bayesian Variable Selection

Chama-Chiliba, Mirriam Chitalu; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2011

We compare the forecasting performances of the classical and the Minnesota-type Bayesian vector autoregressive (VAR … algorithm for variable selection, estimated using Markov Chain Monte Carlo methods. In this regard, we analyze the forecasting … the linear fixed coefficients classical VAR. However, we do not observe marked gains in forecasting power across the …

Persistent link: https://www.econbiz.de/10009369165

1
2
3
4
5
6
7
8
9
10
Next
Last