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Results in this paper support evidence of time-varying beta coefficients for five sectors in Kuwait Stock Market. The paper indicates banks, food, and service sectors exhibit relatively wider range of variation compared to industry and real estate sectors. Results of time-varying betas...
Persistent link: https://www.econbiz.de/10015216710
For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the Michigan Survey. While these measures have been useful in developing models of forecasting inflation, the data are low frequency...
Persistent link: https://www.econbiz.de/10015230546
price volatility, while price and supply equations areestimated jointly. In addition to the standard GARCH model, several … GARCH models, the quadratic NAGARCH model seems to betterdescribe producers’ price volatility, which was found to be an …This paper examines the supply response of the Greek pork market. A GARCH process isused to estimate expected price and …
Persistent link: https://www.econbiz.de/10009444654
The Hessian of the multivariate normal mixture model is derived, and estimators of the information matrix are obtained, thus enabling consistent estimation of all parameters and their precisions. The usefulness of the new theory is illustrated with two examples and some simulation experiments....
Persistent link: https://www.econbiz.de/10015221913
This paper aims at determining the various economic and non-economic factors that can influence the voting behaviour in the forthcoming United States Presidential Election using Lasso regression, a Machine learning algorithm. Even though contemporary discussions on the subject of the United...
Persistent link: https://www.econbiz.de/10015223839
The paper identifies various crucial factors, economic and non-economic, essential for predicting the 2020 United States presidential election results. Although it has been suggested by the contemporary discussions on the subject of United States presidential election that inflation rate,...
Persistent link: https://www.econbiz.de/10015223840
Applied economists working with time series data face a dilemma in selecting between models with deterministic and stochastic trends. While models with deterministic trends are widely used, models with stochastic trends are not so well known. In an influential paper Harvey (1997) strongly...
Persistent link: https://www.econbiz.de/10015230022
The Republic of Mozambique is experiencing a significant social and economic change and needs an updated informative base to allow policy-makers to found their decision on reliable and comparable data. The fast development of the Non Observed Economy (NOE) was one of the most important...
Persistent link: https://www.econbiz.de/10015230853
We conduct a Monte Carlo study of the global regularity properties of the Normalized Quadratic model. We particularly investigate monotonicity violations, as well as the performance of methods of locally and globally imposing curvature. We find that monotonicity violations are especially likely...
Persistent link: https://www.econbiz.de/10015233542
Most point-in-time PD term structure models used in industry for stress testing and IFRS9 expected loss estimation apply only to macroeconomic scenarios. Loan level credit quality is not a factor in these models. In practice, credit profile at assessment time plays an important role in the...
Persistent link: https://www.econbiz.de/10015257063