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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

What is the Causal Effect of Information and Learning about a Public Good on Willingness to Pay?

Czajkowski, Mikolaj; Hanley, Nick; LaRiviere, Jacob; … - Scottish Institute for Research in Economics (SIRE) - 2014

: non-informative updating, Bayesian updating, and incomplete updating. We find causal evidence that agents imperfectly …

Persistent link: https://www.econbiz.de/10010907881

The Effects of Experience on Preference Uncertainty: Theory and Empirics for Public and Quasi-Public Goods

Czajkowski, Mikolaj; Hanley, Nicholas; LaRiviere, Jacob - Department of Economics, University of Stirling - 2012

consumption experiences. We develop a theoretical model of Bayesian updating, perform comparative statics over the model, and show …

Persistent link: https://www.econbiz.de/10011010136

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

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

A New Model Of Trend Inflation

Chan, Joshua; Koop, Gary; Potter, Simon - Scottish Institute for Research in Economics (SIRE) - 2012

Persistent link: https://www.econbiz.de/10010552401

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

Forecasting China’s Foreign Exchange Reserves Using Dynamic Model Averaging: The Role of Macroeconomic Fundamentals, Financial Stress and Economic Uncertainty

Gupta, Rangan; Hammoudeh, Shawkat; Kim, Won Joong; … - Department of Economics, Faculty of Economic and … - 2013

(such as random walk, recursive OLS-AR(1) models, recursive OLS with all predictive variables models) but also the Bayesian …

Persistent link: https://www.econbiz.de/10010711932

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

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