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Empleando modelos jerárquicos para encontrar el mejor modelo para pronosticar los galones de gasolina corriente demandados en Bogotá (Colombia)
Alonso, Julio; Díaz, Javier Gustavo; Estrada Nates, Daniela - In: Revista de métodos cuantitativos para la economía y … 28 (2019), pp. 113-123
The objective of this analysis is to find the best hierarchical model to forecast the total demand for regular gasoline in Bogotá, Colombia and, therefore, the collection of gasoline surcharges, which is an important tax used to finance road networks and massive transportation systems. We used...
Persistent link: https://www.econbiz.de/10012258628
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New strategies to improve the accuracy of predictions based on Monte Carlo and bootstrap simulations : an application to Bulgarian and Romanian inflation
Bratu, Mihaela - In: Revista de métodos cuantitativos para la economía y … 18 (2014), pp. 112-129
The necessity of improving the forecasts accuracy grew in the context of ac- tual economic crisis, but few researchers … inflation rate forecasts on the horizon 2010 - 2012, we proved that the one-step-ahead forecasts based on updated AR(2) models … constructing the forecasts, by using the limits of the bias- corrected-accelerated bootstrap intervals for the initial data series …
Persistent link: https://www.econbiz.de/10010506046
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The evaluation of quarterly forecast intervals for inflation rate in Romania
Bratu, Mihaela; Drăgan, Irina - In: Economic review : journal of economics & business 14 (2016) 1, pp. 80-89
bootstrap simulations were used for assessing the uncertainty in inflation rate forecasts in Romania. …
Persistent link: https://www.econbiz.de/10012012468
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Real exchange rates and economic fundamentals : an investigation based on a Markov-STAR model
Bertram, Philip; Ma, Jun; Sibbertsen, Philipp - 2015
In this paper we introduce a new nonlinear Markov-STAR model to capture both the markov switching and smooth transition dynamics for real exchange rates. The Markov switching part captures the effect of time variations of the equilibrium exchange rates, while the smooth transition part models...
Persistent link: https://www.econbiz.de/10011429933
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On the equality of real interest rates across borders in integrated capital markets
Minford, Patrick; Peel, David - 2005
The purpose in this letter is first to review briefly the empirical results on the relationship between real interest rates and real exchange rates; this empirical literature provides little support for the hypothesis of Roll that expected real interest rates are equal in general. Our second aim...
Persistent link: https://www.econbiz.de/10011517834
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A new INAR(1) model for Z-valued time series using the relative binomial thinning operator
Kachour, Maher; Bakouch, Hassan S.; Mohammadi, Zohreh - In: Jahrbücher für Nationalökonomie und Statistik 243 (2023) 2, pp. 125-152
conditional maximum likelihood methods are considered for the parameter estimation of the model. Moreover, simulation experiments …
Persistent link: https://www.econbiz.de/10014514104
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Forecast evaluation of explanatory models of financial variability
Sucarrat, Genaro - 2009
A practice that has become widespread and widely endorsed is that of evaluating forecasts of financial variability … variability are studied. Second, based on the simulation results a simple but general framework is proposed and illustrated. The …
Persistent link: https://www.econbiz.de/10003829997
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Forecast Evaluation of Explanatory Models of Financial Return Variability
Sucarrat, Genaro - 2011
A practice that has become widespread is that of comparing forecasts of financial return variability obtained from … basis in the simulation results a simple framework is proposed and illustrated …
Persistent link: https://www.econbiz.de/10013132293
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Forecasting long memory time series under a break in persistence
Heinen, Florian; Sibbertsen, Philipp; Kruse, Robinson - 2009
We consider the problem of forecasting time series with long memory when the memory parameter is subject to a structural break. By means of a large-scale Monte Carlo study we show that ignoring such a change in persistence leads to substantially reduced forecasting precision. The strength of...
Persistent link: https://www.econbiz.de/10003899580
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Macro Stress Testing with a Macroeconomic Credit Risk Model : Application to the French Manufacturing Sector
Avouyi-Dovi, Sanvi - 2010
a credit portfolio for several macroeconomic scenarios. We implement two simulation procedures based on two assumptions …; in the second, individual risk is taken into account. The empirical results indicate that these simulation procedures …
Persistent link: https://www.econbiz.de/10013138812