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Modelling and Simulation: An Overview
McAleer, Michael; Chan, Felix; Oxley, Les - 2013
chart application, adaptive survey designs for sampling rare and clustered populations, income distribution inequality … underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan …-based groundwater data management system, the impact of serial correlation on testing for structural change in binary choice model …
Persistent link: https://www.econbiz.de/10010326266
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Use of neural networks to accommodate seasonal fluctuations when equalizing time series for the CZK/RMB exchange rate
Rowland, Zuzana - In: Risks 9 (2021) 1, pp. 1-21
The global nature of the Czech economy means that quantitative knowledge of the influence of the exchange rate provides useful information for all participants in the international economy. Systematic and academic research show that the issue of estimating the Czech crown/Chinese yuan exchange...
Persistent link: https://www.econbiz.de/10013200671
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Modest policy interventions
Leeper, Eric M.; Zha, Tao - 1999
This paper brings together identification and forecasting in a positive econometric analysis of policy. We contend that …
Persistent link: https://www.econbiz.de/10010397515
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Prediction in HRM research–A gap between rhetoric and reality
Sarstedt, Marko; Danks, Nicholas P. - In: Human Resource Management Journal 32 (2021) 2, pp. 485-513
generally confuse explanation and prediction. Specifically, while almost all authors rely solely on explanatory power …
Persistent link: https://www.econbiz.de/10013368831
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Explaining exchange rate dynamics: the uncovered equity return parity condition
Cappiello, Lorenzo; De Santis, Roberto A. - 2005
naïve random walk model, the URP for the EUR/USD performs better in terms of forecasts for a set of alternative statistics. …
Persistent link: https://www.econbiz.de/10011604575
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Short Patches of Outliers, ARCH and Volatility Modeling
Franses, Philip Hans; van Dijk, Dick; Lucas, André - 1998
In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...
Persistent link: https://www.econbiz.de/10010324601
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Methods in empirical economics: A selective review with applications
Hübler, Olaf - 2013
This paper presents some selective aspects of standard econometric methods and of new developments in econometrics that …
Persistent link: https://www.econbiz.de/10010332626
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Explaining the stylized facts of foreign exchange markets with a simple agent-based version of Paul de Grauwe's chaotic exchange rate model
Mignot, Sarah; Westerhoff, Frank H. - 2023
We propose a simple agent-based version of Paul de Grauwe's chaotic exchange rate model. In particular, we assume that each speculator follows his own technical and fundamental trading rule. Moreover, a speculator's choice between these two trading philosophies depends on his individual...
Persistent link: https://www.econbiz.de/10014420641
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Sectoral Productivity, Demand, and Terms of Trade: What Drives the Real Appreciation of the East European Currencies?
Astrov, Vasily - 2005
. However, controlling for sectoral productivities, we found no positive correlation between real exchange rate and per capita …
Persistent link: https://www.econbiz.de/10012099863
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Deviations from triangular arbitrage parity in foreign exchange and Bitcoin markets
Reynolds, Julia E.; Sögner, Leopold; Wagner, Martin - 2020
the triangular arbitrage parity for exchange rate triplets from a cointegration perspective. Due to increasing attention …
Persistent link: https://www.econbiz.de/10012254820