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Uncertainty and Economic Activity
Cesa-Bianchi, Ambrogio - 2014
quantifying the impact of uncertainty on macroeconomic dynamics based on the premise that uncertainty causes economic activity to …
Persistent link: https://www.econbiz.de/10013054500
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Forecast uncertainties in macroeconometric modelling : an application to the UK economy
Garratt, Anthony; Lee, Kevin C.; Pesaran, M. Hashem - 2000
This paper argues that probability forecasts convey information on the uncertainties that surround macroeconomic forecasts in a manner which is straightforward and which is preferable to other alternatives, including the use of confidence intervals. Probability forecasts relating to UK output...
Persistent link: https://www.econbiz.de/10001539419
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Forecast uncertainties in macroeconomic modeling : an application to the UK economy
Garratt, Anthony; Lee, Kevin C.; Pesaran, M. Hashem; … - In: Journal of the American Statistical Association : JASA 98 (2003) 464, pp. 829-838
Persistent link: https://www.econbiz.de/10001971275
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Forecast Uncertainties in Macroeconometric Modelling : An Application to the UK Economy
Garratt, Anthony; Lee, Kevin; Pesaran, M. Hashem; Shin, … - 2021
This paper argues that probability forecasts convey information on the uncertainties that surround macroeconomic forecasts in a manner which is straightforward and which is preferable to other alternatives, including the use of confidence intervals. Probability forecasts relating to UK output...
Persistent link: https://www.econbiz.de/10013321125
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Life-Cycle Consumption Under Social Interactions
Binder, Michael; Pesaran, M. Hashem - 2000
In this paper we examine how social interactions affect consumption decisions at various levels of aggregation in a life-cycle economy made up of peer groups. For this purpose, we consider two analytically solvable life-cycle models, one under certainty equivalent behavior and one under...
Persistent link: https://www.econbiz.de/10014159030
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Uncertainty and economic activity : a global perspective
Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, … - 2014
quantifying the impact of uncertainty on macroeconomic dynamics based on the premise that uncertainty causes economic activity to …
Persistent link: https://www.econbiz.de/10010338658
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Uncertainty and economic activity : a global perspective
Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, … - 2014
quantifying the impact of uncertainty on macroeconomic dynamics. This paper studies the interrelation between financial markets …
Persistent link: https://www.econbiz.de/10011286232
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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, M. Hashem - 2010
Persistent link: https://www.econbiz.de/10003981032
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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram; Pesaran, M. Hashem - 2010
making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …
Persistent link: https://www.econbiz.de/10003965868
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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram; Pesaran, M. Hashem - In: Economic modelling 27 (2010) 6, pp. 1398-1416
Persistent link: https://www.econbiz.de/10008825760