Similar Search Results

Empirical simultaneous confidence regions for path-forecasts

Jordà, Òscar; Knüppel, Malte; Marcellino, Massimiliano - 2010

Measuring and displaying uncertainty around path-forecasts, i.e. forecasts made in period T about the expected trajectory of a random variable in periods T+1 to T+H is a key ingredient for decision making under uncertainty. The probabilistic assessment about the set of possible trajectories that...

Persistent link: https://www.econbiz.de/10010300297

The conditional autoregressive wishart model for multivariate stock market volatility

Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - 2010

We propose a Conditional Autoregressive Wishart (CAW) model for the analysis of realized covariance matrices of asset returns. Our model assumes a generalized linear autoregressive moving average structure for the scale matrix of the Wishart distribution allowing to accommodate for complex...

Persistent link: https://www.econbiz.de/10010300501

Alan Greenspan, the quants and stochastic optimal control

Stein, Jerome L. - 2010

Alan Greenspan's paper (March 2010) presents his retrospective view of the crisis. His theme has several parts. First, the housing price bubble, its subsequent collapse and the financial crisis were not predicted either by the market, the FED, the IMF or the regulators in the years leading to...

Persistent link: https://www.econbiz.de/10010300502

Feature extraction with hybrid neural networks

Wegmann, Georg - 2000

Neural networks (NN) and fuzzy logic systems (FLS) are used successfully for financial forecasting, credit rating and portfolio management. In search for more sophisticated modeling techniques a mixture of NN and FLS has proved to be worth consideration. We propose the novel constructive...

Persistent link: https://www.econbiz.de/10010301758

Another look at yield spreads: Monetary policy and the term structure of interest rates

Kim, Dong-heon - 1998

Liquidity plays an important role in explaining how banks determine their allocation of funds. This paper analyses whether this fact can explain the term structure of interest rates and yield spreads. The paper models banks' demand for liquidity in a manner similar to that used to study...

Persistent link: https://www.econbiz.de/10010301772

An oversimplified inquiry into the sources of exchange rate variability

Kempa, Bernd - 2003

Exchange rates as well as relative price level and output movements are decomposed into components associated with nominal shocks as well as shocks to aggregate supply and aggregate demand. In contrast to previous analyses of such decompositions based on statistical vector autoregression (VAR)...

Persistent link: https://www.econbiz.de/10010302260

Workshop Organisation und Ordnung der Japanischen Wirtschaft I - Themenschwerpunkt: 'New Economy' - Neue Formen der Arbeitsorganisation in Japan -

Jürgens, Ulrich (contributor); Pascha, Werner (contributor) - 2000

Workshops war es, eine theoriegestützte komparative Diskussion über die Erfahrungen in Japan, den USA und der EU zu anzuregen … USA als Indikator für ein Wachstum ohne zyklische Abschwünge gewertet werden kann. Michael Müller-Camen u. a. präsentieren … a comparative discussion on Japan, the USA, and the EU, making use of theory-based reflections. Christoph Scherrer …

Persistent link: https://www.econbiz.de/10010302322

A blocking and regularization approach to high dimensional realized covariance estimation

Hautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus - 2009

We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...

Persistent link: https://www.econbiz.de/10010303678

Price adjustment to news with uncertain precision

Hautsch, Nikolaus; Hess, Dieter E.; Müller, Christoph - 2008

Bayesian learning provides the core concept of processing noisy information. In standard Bayesian frameworks, assessing the price impact of information requires perfect knowledge of news' precision. In practice, however, precision is rarely dis- closed. Therefore, we extend standard Bayesian...

Persistent link: https://www.econbiz.de/10010303759

Assessing bias in the estimation of causal effects: Rosenbaum bounds on matching estimators and instrumental variables estimation with imperfect instruments

DiPrete, Thomas A.; Gangl, Markus - 2004

Propensity score matching provides an estimate of the effect of a 'treatment' variable on an outcome variable that is largely free of bias arising from an association between treatment status and observable variables. However, matching methods are not robust against 'hidden bias' arising from...

Persistent link: https://www.econbiz.de/10010304029